Steam and its constituent games are huge.  Say you want to move ALL the games to a new harddrive or just SOME of the games to a new harddrive to free up some space from your boot disk.  Steam doesn't let you do this, but I do:P
 
Before you do any of these, exit from Steam including the systemtray icon (don't just minimize it)
Windows Vista or 7
1) Move the directories desired in full to a new location (don't leave the empty folder behind) using windows explorer
2) Run mklink /j "C:\Program Files\Steam\" "D:\games\Steam" ("old location" "new location") from a command prompt.  If you just want to move an individual game mklink /j "C:\Program Files\Steam\game1" "D:\games\Steam\game1"
 
Windows XP, Server 2003, or another NTFS OS
1) Download linkd (part of a suite of tools) from the Microsoft website or junction from the MS Sysinternals website. Junction is only for XP, Vista, 7
2) Move the directories desired in full to a new location (don't leave the empty folder behind) using windows explorer
3) Run x "C:\Program Files\Steam\" "D:\games\Steam" ("old location" "new location") from a command prompt.  If you just want to move an individual game x "C:\Program Files\Steam\game1" "D:\games\Steam\game1" where x is either linkd or junction
 
Linux or Mac OS X
Use ln -s in a similar fashion, but reverse the directory order (first the "new location" then the "old location").  Why can't anything ever be standardized?
 
Happy gaming.
 
Using any of these commands, you could move the directories again and re-link from the first location to the current location.
 
Limitations:
1) You can't move your steam from the present location and then the games back to exactly the same place as they used to be in the directory tree.  Once you've created a link/junction, don't create another link/junction pointing back the other way.  You could, however, have the games in c:\program files\GAMES\steam\game1 or some such location (rather than c:\program files\steam\game1. 
2) Will NOT work on a FAT32 or FAT16 formatted volume (it might work if the first drive you had steam on was NTFS and the new was FAT32, but I have not tried this, so I wouldn't chance it)
3) There will be at least one access to the old NTFS volume, so your performance may be closer to the slower of the two drives involved. I think once the hardware drivers know where the files are REALLY going things will speed up a bit (assuming the new location is the faster disk).  Read speed should be largely unaffected and should run CLOSE to the speeds of the new disk.
4) If you remove the old drive from your system, your shortcuts/junctions/links won't work anymore.  And if you remove the new drive your games will be removed too.
5) If you delete the files from either location: they're gone.  You can destroy the symbolic links without screwing yourself over though.
6) I'm not sure how backups will work.  I guess it depends on if they are set to follow symbolic links or not. I'm pretty sure xxcopy has a switch for not following symlinks.  Cloning/imaging should be just fine regardless, as that process copies datablocks, not files.
 
P.S. I'm too cheap to buy any steam games (downloading TF2 right now since it's free:P), but you can add me as highdensitylipoprotein

nor do i, but I made the mistake of installing steam to a drive that the base install took up 3/4 the remaining space:P

That is why I made sure I don't run out anytime soon, 4TB RAID!

So now that you have put this together....1TB drives for $60 on sale now!!!GO!

Yeah, I use this a lot with my SSD drives. It works great, but can be time consuming. It would make things so much easier if Steam would just simply allow this function by default. 

stratosrally

 
For non-Valve Steam games, there's also an app called Steam Mover that handles things a bit differently:
http://www.traynier.com/software/steammover
It automates most of the process, giving you a little GUI to work with.
You can also move files other than games!
Valve's own games work a little differently (Team Fortress, Half-Life, Portal, L4D, etc.)
There is a link to the Steam Community forum on the above link for Valve's own games, or you can use pagelm's guide.

  

oh, sure...you mean someone's already written a program?:P  It looks like his program only works on Vista/7 and there's the aspect of some people don't really like "3rd party" tools.  So, I have some validation to my existence:P
 

slayer_27

So now that you have put this together....1TB drives for $60 on sale now!!!GO!

Cheaper than that actually if you dig around.

I'd do it for the whole steam directory, not just for individual games. That way if you wipe and reformat the OS (which I do a lot because it keeps things clean), you just run the steam application and it is all still there.