You have wine on OSX. You have steam on OSX. Definitely don't waste time, money and disk space on Windows just for Steam and only consider Linux (for wine) if you can't get your app working in winebottler or crossover.
I have played around with dual booting various linux distro's along with OS X, Ubuntu 11.10 included. In my experience, the linux distro's don't run very well with apple hardware (to clarify, my mac hardware MBP 7,1). There is alot of extra work involved to get a distro up and running, ie: I had to install broadcom drivers for my wireless, nVidia driver for my GPU. Most, if not all, linux apps are available through macports.
Steam is available on mac, unless you want to run some windows specific game then you might as well just get windows. FWIW I run OS X with win7. But by all means, give the Ubuntu dual boot a try if you must, you'll need a program called rEFIt to sync the parition tables. I used these instructions from the Mactel ubuntu team. Good luck!