My favorite instrument is the double bass (aka upright bass), but seeing as many instruments are already made of wood or brass they're pretty close to steampunk from the get-go. Mechanical bits mixed with wood, tiny moving parts, tubes, etc...
I personally don't think it looks very good when people try to make conventional modern instruments retrofitted to look steampunk, but when you have an instrument built from the ground up to look steampunk it's generally awesome, so I'm kind of divided on the subject.
There is such a thing as a "steam organ," which is also known as a calliope. (
wikipedia link). It's literally just a pipe organ that blows steam through whistles. How much more steampunk can you get? ...Except, of course, considering that it's not anachronistic at all and actually existed in that time!