This covers it pretty well:
1. change your Steam password.
2. if you used that password at any other site, change those too.
3. in Steam, de-authorize all other computers in SteamGuard, even if there shouldn't be any others.
4. if you bought anything from Steam's store using a credit card, keep an eye open for unauthorized activity. This is one reason I always buy Steam games using PayPal. *jinxes himself*
5. watch for possible freebies from Steam to compensate us for our trouble