As a rule of thumb, never enter your information into a site you don't trust. If it's not an official Steam page, don't use your Steam info on it. And by the way, all those "OMG THOUSANDS OF FREE GAMES" links are generally scams.
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Small overview on phishing scams:
They're fake. It is an attempt to get you to send them your login information. They won't give you any free games or whatever they're offering, they're trying to get your password.
It should also be noted that very few of these account thefts have anything to do with actual 'hacking'. Anyone with a bit of time and simple knowledge of HTML could design a phishing site if they felt so inclined.
Phishing generally means that it is a false site designed to look like something legitimate, but it is set up so that when you enter your account information, the information is automatically sent to someone. After you enter your username/password, the person who set up the site receives that information. At that point, they have your login information and can run around and do whatever they want on your account. This may put your other accounts in danger as well, if you used the same information for them as you did for Steam.
These things are common knowledge, and are certainly nothing new. They've been around for ages. The way to defend yourself from phishing attempts is to simply make sure that the site you're using is the correct site (verify that it is indeed Steam's actual URL in the address bar, for example), and to avoid the whole "omg i give u game if u gimme pass" episodes.
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For more information, refer to this thread, which was made long ago with the sole purpose of addressing this issue as a whole. We don't really need a bunch of threads on it.