Anabolic steroids are synthetic substances similar to the male sex hormone testosterone. Steroids promote the growth of skeletal muscle and the development of male sexual characteristics in both males and females. Some people abuse anabolic steroids to build muscle and enhance performance.
(from the National Institute on Drug Abuse ) 

Steroids are illegal without a prescription in the U.S. and for U.S. personnel deployed in a combat theater. Psychological effects of steroid abuse include aggression, violence, paranoid jealousy, extreme irritability, delusions, and impaired judgment.  Withdrawal can lead to mood swings, fatigue, depression, and suicide. Abuse of anabolic steroids can have consequences for your body that include liver damage, high blood pressure, kidney failure, severe acne, and trembling, shrinking of the testicles, infertility, baldness, and development of breasts.

Strength and muscle mass are very important to many soldiers. Do not risk your health for quick strength gains. To increase your strength and build muscle, steer clear of performance enhancing drugs. Eat a healthy diet and include strength training in your workout routine. See the Nutrition and Physical Fitness and Training pages for more information.

Resources

DoD Directive Number 1010.4 - Drug and Alcohol Use by DoD Personnel

DoD Directive Number 1010.1 - Military Personnel Drug Abuse Testing Program

AR 600-85 - The Army Substance Abuse Program

For Bodybuilders and Athletes:

The use of steroids is banned by most, if not all, major sports organizations – the International Olympic Committee, the National Collegiate Athletic Association, Major League Baseball, the National Basketball Association, the National Football League and the National Hockey League.

Human Performance Research Center   - A healthy approach to fitness

Food and Drug Administration (FDA) - Body Building Products Marketed as Containing Steroids or Steroid-Like Substances  – The FDA issued a public health advisory  warning consumers to stop using any body building products that contain steroids or steroid-like substances.

FDA - Warning on Body Building Products   (Video)

Drug Enforcement Administration - A Dangerous and Illegal Way to Seek Athletic Dominance
and Better Appearance  

Non-government