Click 'Install Steam' and a file named 'SteamSetup.exe' or 'steam.dmg' (depending on whether you're using a PC or Mac, respectively) will begin downloading. It also works the other way around: copying files from Windows to Mac. Then, the Windows Steam will still download Windows-only files, but they are quite small, maybe less then 100MB. Thus, you can safely copy such files from your Mac Steam to your Windows Steam, saving you a few gigabytes of downloads. And even while the Mac Steam library is not as big as the one for PC, being able to access Steam on your Mac opens up a ton of possibilities. Nowadays though, thanks to Steam on OS X, Mac users can enjoy a lot more variety of choice when it comes to game releases.
Franchises that many players around the world enjoyed on their gaming consoles were usually available only on PC, with Mac gamers left behind. For years now, one of the aspects where PC users always were ahead of those of us with Macs was gaming.