Is it possible to install Steam games to two different locations?

Here's what you can do. I had a machine where I needed to install my games on a separate drive so I symlinked the steamapps directory. You can do the same with the directories inside of steamapps. I've gotten it working in Vista and Windows 7 using mklink.

EDIT: Install Steam on the SSD and then symlink the games you aren't using as much with their data on the slower drive.

As of the latest Steam version for Windows, it is possible to install games to arbitrary locations. To do so, click "Install" in your library or the store and choose "Create new Steam library" in the "Choose drive to install to" dropdown menu. This option will only be available for games using the new content system, you may need to use the tricks from the other answers if you want to move the ones that don't use it.

Note that the Install dialogue will not offer the option to create a separate library on a drive that already has one, to do that you need to go to Steam -> Settings -> Downloads + Cloud -> Steam Library Folders and click on "Add library folder".

There are now a couple tools that help with this process: http://stefanjones.ca/steam/ and http://www.traynier.com/software/steammover