In answer to your final question - steroids are
not "free muscle". You have to train just as hard with them as without; they just increase your gains. However, they're full of problems.
One of the real problems with anabolic steroids is they can be converted by the body into oestrogen (female sex hormone) so you can end up with all sorts of lovely side effects -> infertility, female fat distribution, gynaecomastia (grow breasts)
Also, steroids increase your cholesterol levels (they are related compounds, and cause widespread cholesterol metabolism changes) - thus massively increasing your risks of heart attacks etc. In our hospital we
have seen cases.
Of course, no side effects are ever guaranteed - but do you really want to be playing with them and risking all the problems?
Good overview (very fair, doesn't just say "ugh, leave them alone") at:
http://www.steroidinformation.com/sideeffects.htm