Steam is the most recent company to add an authentication via app to their security options. Authentication apps enables two factor authentication when logging into user profiles. They have numerous benefits and anyone serious about their security should consider using one.
The benefits of using an app over the standard SMS is that you don't have to wait for an incoming text message, simply click on the app. There are a number of apps available including apps that will manage two step authentication for multiple accounts.
Google has a very simple authentication app that can also be used for Dropbox, Evernote, LastPass as well as many other accounts. Google Authenticator has competition from Authy which has one major security advantage, you can pin lock the app.
Read a comparison of Android authentications apps here: The Best Two-Factor Authentication App for Android