If you're interested in creating your own steam and smoke effects, Allen McKay has some good video tutorials available. Creating your own with particles can sometimes give you exactly what you need, you can also render it out and use it like fletch described. If you really want some great smoke, steam, fire, cloud effects…
krakatoa, afterburn and fume fx as vig mentioned are what you need if you want to create custom smoke and particle fx. Theres plenty of tutorials out there on how to go about it once you get one of those products. Basically you need some sort of volumetric rendering system.