I live in a house with steam heat. Steam systems often get converted to hot water, but in general I have a few observations related to radiated heat.
1) Steam and other radiant systems don't deal with temperature setbacks well. They take FOREVER to warm up a house after a set back, so don't bother with a deep setback overnight, and if you are gonna turn down the heat because you are going to be gone for a while, expect your house to be cold for a couple of hours while it warms back up, or expect your heat to overshoot by 5-10 degrees.
2) Radiant heat seems to work well in the temperature range it is designed for, but outside of that range you get strong temperature gradients in rooms. Unless you have a fan in each room, expect the ceiling to be substantially warmer than the floor. I have 12 foot ceilings, and the ceiling can be 15 - 20 degrees warmer.
3) I personally prefer forced air with my allergies than radiant heat, because you can upgrade a forced-air system to use better filters, which basically gives you a filter for your entire house. Radiators are a pain in the ass to keep clean, and the air often seems to go stale over time. I have fairly bad indoor allergies and it just feels like over winter the house just fills with allergens.
4) On the same note, you can't get whole-house humidifiers with steam heat, nor can you easily add air conditioning.
5) Steam isn't THAT quiet. An improperly tuned system will bang (which shouldn't count against steam, because that's the fault of whoever is maintaining the system), one-pipe systems (which are common in Chicago) hiss when they are heating up, the valves sputter as they die, and when the system cools back down there is a loud inrush of air. Two pipe systems make noise as they heat up and joints flex, and the valves also make little clicking sounds.
Hot water can get bubbles in it and make wooshing sounds, but that's generally a sign of bad maintenance.
The sound of air blowing bothers me less in general than one off sounds that occur with steam and hot water though, and unless you don't mind the aforementioned temperature gradients you'll need to have a fan running anyways.
6) It's much much easier to find people who know how to work on forced air in the US. Replacement parts are easier to find, and forced air is usually more efficient.
One big benefit to steam is that old systems were massively oversized for the houses they are in. My house had absolutely NO problem getting up to temp during the week we had below zero temps. It was running a lot though, and the leaking shutoff valves and blurbling air vents were starting to drive me nuts, so I shut off the heat for a couple of hours on the coldest day (which got down to -40 or so) to do repairs. It got down to about 40 degrees inside before I turned the heat back on, and once it was back on it got up to 70 or so no problem. I know a lot of people who had more modern systems that struggled to maintain 40 or 50 degrees.
Side note: If anyone has a steam heat system in their home, I would highly recommend picking up The Lost Art of Steam Heating by Dan Holohan. As I mentioned, it's hard to find a real steam heating expert nowadays, most of the time you'll just get plumbers who are moonlighting. While steam heat involves plugging pipes together, there are a lot more things to take into account other than whether pipe A and pipe B are connected.