In general, grains that can be steeped are crystal/caramel malts and roasted malts. Anything with the word "cara" in it is a crystal malt. Roasted malts, black malts, chocolate malt, etc are darker because of the way they are processed, and can be steeped.
Only base malts must be mashed. This includes maris otter, Vienna malt, Munich malt, two-row, and aromatic malt.