In response to Steve's query, more on the steroids in Major League Baseball (MLB).
Which is a good question. The Major League Baseball Players Association (MLBPA) is a very powerful union. Things in general have broken their way since Curt Flood started to break the hold of the reserve clause owners used on players. (For more on that, go here.)
Congress is now threatening to get involved and force MLB to impose more stringent rules to find and punish users of performance-enhancing drugs. Why Congress? Because MLB has an anti-trust exemption that ruled it is not a business but a sport, thus it is immune from some of the usual laws that govern businesses. More stringent testing and punishment rules must be agreed upon by the MLB and MLBPA. (More on the anti-trust exemption, here.)
In 2003, under terms of an agreement between MLB and MLBPA, baseball conducted 1,438 random, anonymous steroid tests during the season. The agreement was that if more than 5% came back positive, then every baseball player in MLB would be tested twice the following year and punishments imposed for positive results.
Though the league wasn't specific, it was announced that 5%-7% of the tests in 2003 were positive. Because of the number of positives, MLB did activate the second part of the agreement and for the 2004 season, the testing and the penalties were in effect. The penalties ranged from clinical treatment and additional testing for one offense to a year suspension and a $100,000 fine for 5 violations. This regimen is in place until two consecutive seasons combined have less than a 2 1/2% positive test rate. (More details, see this from Nov03.)
I'm a lot fuzzier on what substances are banned by MLB. According to this article from ESPN, any substance is added to MLB's banned list "when the Food and Drug Administration declare[s] it an illegal substance". I tried to find information on the internet regarding what exactly is on the list of substances banned by MLB, but I couldn't find a comprehensive list. Androstenedione, usually shortened to "andro", (which is the product famously used by Mark McGwire when it was still licit) has been banned by MLB, so some substances that are not illegal to possess and use in the US are still banned by baseball, but I don't know what all of them are.
Hope that's helpful to Steve and others.