You're seeing more and more steampunk stories, styles, settings, and characters in film. But it has always been present in cinema going back to the earliest movies (Metropolis) and even in children's movies (Chitty Chitty Bang Bang). Here are a few of my favorites:
Airships, strange carriages, an alternative universe, and talking animals. Based on Philip Pullman's His Dark Materials Trilogy, this movie is the epitome of steampunk infused with science fiction and fantasy. This is a personal inspiration to me, and I have no qualms admitting that I draw my aesthetic inspiration from this film.
Steamboy has everything a steampunk movie should have: a story based around the power of science and technology, Victorian setting, people wearing robotic prosthetics, and STEAM! Alternative history and steampunk goodness all in one awesome anime.
City of Ember was a movie I took my oldest son to. I would consider this film having a steampunk-dystopian setting. People live underground, reliant on a super generator for power, and a dictator that rules with an iron fist. Just a great movie.
Stardust is similar to The Golden Compass as it is very rooted in fantasy. But DiNiro plays a freaking sky pirate! It's an incredible film, and the visual art is magnificent. It's got airships, magic, witches, sword fights, and one very sexy Michelle Pfeiffer.
One more animated movie...Castle in the Sky is one of the best EVER. It has flying machines, airships, pirates, and look at those goggles. Steampunk-to-the-max. Miyazaki is also the mastermind behind Howl's Moving Castle and Princess Mononoke.
Here are just a few other films with a steampunk attitude:
Wild Wild West (1999)
The Illusionist (2006)
Van Helsing (2004)
Lemony Snicket's A Series of Unfortunate Events (2004)
The League of Extraordinary Gentleman (2003)
The Time Machine (2002)
Sleepy Hollow (1999)
The Adventures of Baron Munchausen (1988)
Brotherhood of the Wolf (2002)
The City of Lost Children (1995)