This policy has just changed.
Now it's possible to ask for a refund within 14 days of purchase, provided you have played it for less than two hours.
You can request a refund for nearly any purchase on Steam—for any reason.
Maybe your PC doesn't meet the hardware requirements; maybe you bought a game by mistake; maybe you played the title for an hour and just didn't like it.
It doesn't matter.
Valve will, upon request via help.steampowered.com, issue a refund for any reason, if the request is made within fourteen days of purchase, and the title has been played for less than two hours.
There are more details below, but even if you fall outside of the refund rules we’ve described, you can ask for a refund anyway and we’ll take a look.
You will be issued a full refund of your purchase within a week of approval.
You will receive the refund in Steam Wallet funds or through the same payment method you used to make the purchase.
If, for any reason, Steam is unable to issue a refund via your initial payment method, your Steam Wallet will be credited the full amount.
(Some payment methods available through Steam in your country may not support refunding a purchase back to the original payment method.
Click here for a full list.) source
gaming.stackexchange.com/users/6938/o0'.
Edit:
Note that Steam's policy has changed on this, please see other answers.
Not generally, per their agreement : "ALL STEAM FEES ARE PAYABLE IN ADVANCE AND ARE NOT REFUNDABLE IN WHOLE OR IN PART."
However, it is possible in special circumstances to cancel an order.
I managed to undo a preorder of a game that went on sale the day after I preordered it.
I contacted customer support, and since I didn't actually get the game yet
(it wasn't out), they allowed me to cancel my preorder and reorder with the sale price.
I don't recall whether my credit card had been charged for the initial order, however.
gaming.stackexchange.com/users/32/Mag Roader
Doesn't look like it.
From the Steam wiki : As with most software products, we will not offer refunds for purchases made online as outlined in the software license - please review Section 4 of the Steam Subscriber Agreement for more information.
We can make an exception for pre-ordered games if the request is received prior to the release date.
gaming.stackexchange.com/users/11/Jeffrey
Steam is described as a "Service" in thier licence agreement etc.
They hope this will allow them to avoid most online consumer laws in many countries that categorically state that you are allowed a refund in the case that a game does not work.
If you have a technical problem with a game, you can try to get a refund, but I have never tried it.
gaming.stackexchange.com/users/4807/Nat
Steam may refund an entire order if you file a ticket on their tech support site.
Note, however, they may require you to have a good reason.
The one time I wanted to cancel an order (when I purchased all 3 Borderlands expansions and then found out two of them include SecuROM), I opted not to cancel mine, because tech support informed me they would have to refund the entire order, and I had purchased some one day sale items on the same order.
gaming.stackexchange.com/users/None/
Is it possible?  If it is, do I have to have had some sort of technical problem or can I get a refund just because I didn't like it?
Is there any way to get a refund for a game bought from Steam?
gaming.stackexchange.com
<steam>
gaming.stackexchange.com/questions/839
gaming.stackexchange.com/users/14/juan
You can get a refund within 14 days for any reason if you file a ticket on their tech site. Steam wiki states that they do not offer refunds for purchases made online. But it would seem that it is now possible to ask for a refund within 14 days of purchase, provided you have played it for less than two hours.   You can file a ticket on their tech support site.  
It is now possible to ask for a refund within 14 days of purchase, provided you have played it for less than two hours.   You can file a ticket on their tech support site.   Steam wiki states that they do not offer refunds for purchases made online.