Well, steeping grains are used for color/flavor/aroma, etc. Usually, you steep the grains in water for 20 minutes at 150-165 degrees then remove the grains. It's like making tea, and it really smells great! Then you bring that liquid up to a boil and proceed with the beer brewing.
Most commonly, crystal grains are used. They don't need to be mashed, as the sugars have already been converted so they make a great addition. Sometimes, people use roasted barley (for stouts) or other grains. Chocolate malt AND crystal can be used in a brown ale.
What I'm trying to say (badly, I think) is it really depends on the recipe. Sometimes a darker beer, like a stout, will have crystal malt, chocolate malt, roasted barley, etc. A cream ale might have none.
What are you making? We can help you come up with a recipe.