Well, theres whats supposed to happen and then what happened to me, I suppose.
You toss the disc in, run setup. Window pops up, what do you want to do, click install.
Steam starts (or the steam installer starts if its not already installed). You're presented with a window to type in the CD key. That registers, another window asks which of the games you want to install. Last night I selected all of them (I had uninstalled HL2/EP1 before, but kinda want to replay them. Plus EP1 is required for me to play the updated Minerva mod). Then Steam is supposed to create the cache files. This step happens even when you download directly from Steam. This is the step that hated me, because it just never finished after 14 hours. I had to go back and install one by one and it eventually worked. Then instead of downloading everything it pulled data off the DVDs, and now the games are installed...but still updating.
God damn, its only been 3 days since launch, whats been updated? How much is left to download? Why won't steam tell me this shit? Like Portal, it jumped to 85% complete and I'm thinking "Oh, small update...cool, I'll be playing in 5 minutes." Nope, these last 15% has been downloading for about 3 hours now. Still have 2% to go.