If you don't mind OFFLINE games... There are quite a few that have gained small noteriety... Well, one gained a -bit- more...
That "one" being "Bioshock"

I don't think I have to go into any further details...
Another, rather unheard of one, was called "Bumpy Trot" in Japan, and when it came over, it got the name "Steambot Chronicles"

Now... Uh, there is only one MAJOR Steampunk setup MMO... And it's the most popular in the world...
World of Warcraft.
It's set in a steampunk time period, although, it's also weighed more heavy on the Fantasy side.
But, the Steampunk is there! Cogs Away!