Mostly I play Steam on Bootcamp/Vista. However I do have Steam installed on my Mac and have one game installed, Half Life 2. For fun I tried to go find the application. when I use the finder Spotlight, it says there is an application called Half Life 2 sitting in my Application folder, but darned if I can find it there. Then I went to my Steam Folder and looked in the SteamApps folder and although there is a Half Life folder there that holds a Hl2.exe file, I can't find it (something identified as a Half Life application) there either. I might have missed it in one of the folders.
Finally I had created a desktop icon for Half Life using the method described in this thread- launch Steam, go to your list of Mac games, right click on the desired game, in this case HL2 and select "create desktop icon". What is interesting is when I right click on the desktop icon and get info on it, it is not listed as an alias, but as an application.
I don't know if this is applicable, but I am one of those people who have my Steam Folder (with it's SteamApps folder) installed on an external hard drive vs sitting in my Application folder.
Some interesting stuff going on with this Steam application on Mac.