The biggest disadvantage to a steam shower versus a walk-in shower is that you have to have a door.  If you just want a classic bathroom shower with great hydromassage jets, a digital sound systems, an iPod to play your favorite tunes, and a drenching ceiling rain system, you can create awraparound tile wall that lets you walk into the shower without having to open or shut a door.  Once you have a door, you have issues.  First of all, you have glass, which gets dirty easier, requires frequent cleaning, and has moving parts.  Moving parts are more problematic than non-moving parts, obviously.  And glass can break, of course.  But if you want a steam room, which is the general purpose of this site, so if you have read this far then I assume you do (providing I have not just talked you out of it), then you need a door.  You have two primary choices with doors:  Sliding doors and swinging doors.  Personally, I prefer swinging doors because there is less that can go wrong with a hinge than with a slide, which requires rollers, springs, and other equipment.  The disavantage of a swinging door is that it takes up more space and gets in the way a bit more than a sliding door.

Swinging door:

Sliding door:

Walk-in Shower (No Door)

Those pictures should give you a general idea of the door you want.  Once you’ve picked out the style of door, you can look to different manufacturers to buy a door from.  Since all you are really getting is glass and a hinge, there isn’t that much to worry about.  I always recommend a big brand name, but you’ll pay more that way.  There aren’t really any big name companies that make bad shower doors, so feel safe.