The following ports must be open in your firewall and router for Steam and Steam Games to work:

UDP 1200 (used for friends service)
UDP 27000 to 27015 inclusive
TCP 27020 to 27039 inclusive
TCP 27040 and 27041 only for CyberCafe Owners

Computers running Dedicated Servers need these ports open:

UDP: 27015 and 27020 (default HLDS, SRCDS and HLTV port)
TCP: 27015 (SRCDS Rcon port)