Corsets are one of the most common parts of a steampunk costume. At least they are if you're a woman, and sometimes even if you're not. A woman's steampunk costume needn't include a corset, of course, but the majority of them do. In my opinion there are three main reasons for wearing a corset:
1. They look cool.
2. They improve the shape of your figure.
3. They are comfortable.
Lots of people would probably argue with me on that third point, but it is absolutely true in my experience. If your corset is uncomfortable it is either most likely cheaply made or simply doesn't fit you correctly. Corsets are very complicated articles of clothing that really require custom fitting to be absolutely right. I think most women expect a corset to be uncomfortable because corsets have gotten bad press over the years and so when they try a cheap, mass-produced corset their suspicions are confirmed.
Let's face it, most women have no need to know much about corsetry. I certainly didn't when I first started in steampunk, although as someone who had dressed up for Rennaissance Fairs and who was a goth, you'd think I'd have known more.
First, a primer on what is and is not a corset.
This is me at a the Texas Renaissance Festival wearing a Renaissance-style bodice. It is not a corset.

The only boning in this one is at the very front. Bodices have solid backs, straps, and lace in the front. They do a good job of making your torso cone shaped and pushing your boobs sky-high. You can certainly wear this style of garment for steampunk, but it's not Victorian and it's not a corset.
Next there are
bustiers, which is what you are likely to find in lingerie stores and sections. They are essentially strapless bras with a light plastic-boned band that goes down to your waist. They are really only good for wearing for a short period of time in the bedroom to look sexy, or wearing instead of a bra under a prom dress. There is a lot of variations in bustiers, and some look very similar to corsets, but are generally distinguished by shape and flimsiness.
And finally we have corsets. Corsets generally lace in the back and have hooks in the front (called a busk.) There are a million different styles of corset, but the main groupings have to do with what the corset covers. So there are overbusts, underbusts, midbusts, and waist cinchers. Overbusts cover the entire bust, underbusts stop right under the bust, midbusts (most historical Victorian corsets) stop at the nipple line, and waist cinchers are the smallest, only covering the waist. Which style you want is mostly a question of your own taste and the look you are going for.
But now we get to the important stuff: quality. The main obstacle to people getting decent corsets is price. No one wants to shell out several hundred dollars for an item they are only going to wear once, or maybe once a year. Of course, if you're anything like me, what you think will be an infrequent costume event may turn into something of a lifestyle and you'll save a lot of money in the long run by buying quality to start with. But how can you tell what you're buying?
I'm going to use myself as an example of what not to do.