MAKE: Blog has a fantastic review of steam-powered bicycles. This one above is a 1896 Geneva steam bicycle:
This authentically restored bicycle, manufactured by the Geneva Bicycle and Steam Carriage Co. in Geneva Ohio, is fitted with a steam engine built on the design of Lucius Copeland, who built his first steam vehicle based on a Star high wheeled bicycle in 1886. It will travel at 12 miles per hour, although maintaining a head of steam at that speed is difficult."