There are several types of Steampunk. The most common is a victiorian/edwardian style setting which includes a somewhat more advanced level of technology than really existed at the time (but still in the style of the setting, e.g. victorian computers would have brass casings and run on steam, hence the name "steampunk"). This is actually known as Victorian Steampunk, and the League of Extraordinary Gentlemen is a good example of it.
Western and Medieval Steampunk also exist. The Will Smith movie Wild Wild West is an example of the former, while Mark Twain's classic novel A Connecticut Yankee in King Arthur's Court is an example of the latter.
Technically Roman Steampunk, Chinese Dynasty Steampunk, Stoneage Steampunk, etc could exist but I don't believe there are any works of fiction based in such settings. Yet
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As well as the variations of settings, there's also Historical Steampunk and Fantasy Steampunk. The former only includes advanced technology, while the latter throws magic into the mix. Arcanum is an example of Fantasy Victorian Steampunk, while Thief: The Dark Project is an example of Fantasy Medieval Steampunk.