The whole thing really starts off with the "cyberpunk" subgenre of science fiction. The general form of a cyberpunk story consists of marginalized individuals in a futuristic dystopia hacking information-distribution technology to achieve what is, in their view, a positive social aim, usually some form of emancipation. Cyberpunk has become very familiar to most people in North America and Europe even if you don't notice it. Much of the terminology and thinking people use when they interact with the Internet comes from William Gibson's prophetic novel Neuromancer (which I admit I haven't read). Apparently we are living today the cyberpunk fiction that was written yesterday. And, of couse lots of people have watched The Matrix, which is another example of cyberpunk fiction. Some writers are very outré and futuristic, such as Neal Stephenson and his excellent The Diamond Age; or, a Young Lady's Illustrated Primer (which I have, in fact, read)---works like this attempt to explore the social effects of very different technology on a far-future world, such as, in the case of The Diamond Age, ubiquitous nanotech.
Far from being dry descriptions of technology, though, these works are often political polemics---more often then not, although they are also frequently enjoyable futuristic romps.
Steampunk is an offshoot of cyberpunk where the writer attempts to make use of the same form minus electronics or any futuristic technology. It is usually set in an industrializing society, hence the "steam" in "steampunk". A novel that is an interesting transition between steampunk and cyberpunk is Stephenson's Cryptonomicon, a long but very popular novel about WWII and its aftereffects in present-day life regarding discoveries in computer science, with cameos of great thinkers like Alan Turing. (I found the book too long for the subject matter and never finished it, but others I know really really liked it.)
Steampunk fantasy takes the steampunk genre and adds magic to it. In the case of China Miéville's New Crobuzon universe (the subject of the previous post that this is based on), the city of New Crobuzon is highly reliant on trains and factories...that are powered both by steam and magic. New Crobuzon is like the worst aspects of London during industrialization, plus it has massive racial tensions between various human and nonhuman subcultures, whereby Mièville explores questions of identity: some races manage to accomodate themselves to the dominant human culture better than others, who become ghettoized for a variety of reasons. And other races, like the garuda, are immigrants/strangers to New Crobuzon society whose prior cultures and philosophies contrast deeply with the Crobuzoner way of life.
But the most dominant issue in Miéville's work is that of class, which is what makes it "socialist" fantasy. (Miéville is a Trotskyist and the head of some fringe British political party.) Miéville uses this industrializing society to illustrate class oppression---but that's been done before. What makes Miéville's work so innovative is that he uses the magic of his universe to make metaphorical descriptions of capitalist/worker relations into literal ones, often in a quite luridly grotesque way. For instance, workers and the poor who commit minor crimes are sent to be magically "Remade", a process that often involves grafting alien appendages or industrial machinery to the bodies of the convicted, often in sadistic ways---poetic ways, relating to the crime. The treatment of the Remade after their ordeal is often frightening---and the rate of Remaking suspiciously increases when Capital demands more cheap labour.
That is "socialist steampunk fantasy."