I would have to say that although it's not strictly steampunk, for me the answer has to be "The Prestige". Not only does it feature David Bowie as Nikola Tesla, but the mingling of technology and stage magic/illusion seems to me to capture the true essence of what steampunk is really all about. Three parts Science! and three parts wonder and imagination.

Plus the costumes are *amazing* and you get to see Hugh Jackman and Christian Bale tearing up the screen like whoa!