TCP 27015  SRCDS Rcon port
UDP 27015  gameplay traffic

Steamworks P2P Networking and Steam Voice Chat

UDP remote port 3478
UDP remote port 4379
UDP remote port 4380

For generic Steam HTTP/HTTPS requests, your proxy should allow the following domains:

steampowered.com
steamcommunity.com
steamgames.com
steamusercontent.com
steamcontent.com
steamstatic.com
akamaihd.net