You can use them in stir-fry, sautee them, boil them, wash them and use them in a salad, etc. Or you can use them in pasta or stuff them in chicken with cheese or something!
This depends on which vegetable you are talking about, and you tastes, but I think all vegetables can be steamed. Broccolii, cauliflower, and asparegus (just to name a few) are very good steamed and...