There are some legitimate complaints that a person might have against playing in a Tech Level 5 Victorian-era campaign. The state of medicine while a stark improvement over TL4, is still rather atrocious, compared to a modern setting. Plus, it lacks the k-rad guns and vehicles you can get in modern / futuristic settings. It's not fantasy, with the typical accompanying magics, so where would a person get neat-o magical gear? A nice thing about space-age gaming is access to high-tech stuff, especially alien high tech and Psionics, but you haven't got that stuff in the 19th century. What about all the neat paranormal powers you can have in horror-genre games?
These are all very legitimate complaints, or rather, they would be if we were playing a historically accurate Victorian-era campaign. We're not. This means that you've got access to nearly all of the stuff mentioned earlier, it'll just have a "period" feel to it.
Specifically, it is the more "fantastical" themes that provide you with the opportunity to have savage injuries healed, get awesome weaponry, or gain remarkable advantages -- even after character generation. This page will attempt to list some examples.
Advantages you could take / gain might include: Spirit / Fairie Empathy, Channelling, Mediation, and a whole lot more.
You could turn into a werewolf / vampire and the GM might just let you go on playing. Say goodbye to those unsightly aging rolls! Say goodbye to tanning and romantic strolls under a full moon!
Go to fantasyland (pick a wardrobe, any wardrobe) and get some magical amulet, magic wand, a unicorn horn / dragon scales, or whatever. Kill a leprechaun, cook him into a pie, eat it and gain some luck advantage (or some disadvantage like "uncontrollable teleportation"). Just remember that when you return to the "real" world, the mana level will probably drop from high / medium down to low, which might have a degrading effect on some of the loot you picked up.
Lost an arm in a brawl? No problem! Visit Dr. Frankenstein (or a like-minded mad scientist) and have him sew you on a new one (or even your old one if you managed to hold onto it). So maybe you'll suffer some reaction modifiers because the hand he sewed on was from a body that was three months dead. Big deal. Maybe you'll even have some skill use modifiers if, say, you get an ape hand sewn on in place of a human hand. Big whup, at least you've got a hand again.
As mentioned, the Steampunk theme can have any/all of: computers (they call them "Engines"), automatic rifles, submarines, steam-powered cars ("gurneys"), even robots ("automatons"). Remember to stay in line with the vernacular or we lose that whole "period" feel.
Once, one of our characters got a taser, only it was called a "Shocking Nancy". See, "period" feel. (In the U.S. it would be called a "Franklin Rod".)
This theme might include any / all of: spaceships, time travel, aliens, advanced technology -- The sky's the limit here folks.
You could be running a Horror-themed adventure that goes very awry, i.e. some of the PCs get maimed or killed by the monsters. At that moment, the monsters turn out to be aliens who were just "studying" humans to see how they would react to violence. (*Cough* cheap Star Trek plot *Cough*) In an instant, they whisk the maimed / killed PCs off to their spaceship and patch 'em up (almost) good as new. (So what if the PCs gain some severe allergy / delusion / insanity / phobia. Worse things have happened.)