The Difference Engine by Gibson & Sterling, definitely. It was a hard read at first (and I think slightly more sci fi than Steampunk as we're coming to understand it) but well worth it.

Also, Boneshaker by Cherie Priest, because it is brilliant. Mixes some lovely steampunky elements (the Boneshaker tunnelling machine itself, the goggles, the airships) with zombies trapped in a dead city. I really enjoyed it, despite slightly uneven pacing, and I'm desperate to get her next book, Dreadnought.

Further to the Chris Wooding recommended above, he's also written Retribution Falls. It's been compared with Firefly (because there's the charming captain on a ship with a group of weird people who each have a mystery, amongst other things) but it doesn't suffer for it. One of my favourite reads this year, and the sequel's out, and I love it, partly because of Bess.