https://www.youtube.com/watch?v=y-xjqsuH4Oc

The scammer adds you, typically pretending to be a collector of some sort. He/she tells you that they have steam wallet money, but need tradeable keys quickly for a trade. Then, the scammer will offer to buy a cheap skin of yours off the market for much more than it's worth, let's say enough for you to buy 22 keys. After this, the scammer will send you a trade for your 20 keys, which you accept. What you don't know is that the steam wallet balance of the scammer has been obtained illegally and you will lose the keys you purchased and receive a trade ban some time after completing the deal with the scammer. The scammer gets off scot-free, as Valve really have no idea how to deal with this scam at this time.

One of the most common scams, this is a technique used by many, even outside of the game. Phishing links look like links to familiar websites, but are actually imitation websites that try to trick you into giving them your account details (Steam and/or email username and password) or download malware that will take your details/control of your computer. With these details the phisher can gain control of the account and lock you out of it by changing account details, then move your items and steam wallet funds to one of the phisher's accounts.
Phishers can contact you through Steam, trade sites, and even email so always be careful to check before you click links. Even better is to not click links at all, and navigate to the real page yourself by searching (see top for details).
Additionally, a chrome extension written by /u/dmn002 will block several known misspelled websites, but it won't stop all of them. For Firefox users, /u/Jeesecar96 made a userscript to block phishing sites.

2 complicit scammers go on a trade server, a trade site, or possibly contact people directly. The first advertises that they are paying a very high amount for a specific item (usually rare but not a requirement), a lot more than it is actually worth. The second advertises selling that exact item, for more than it is worth but for less than the other scammer is offering. They pretend to be unaware of each other, hoping that someone gullible will try to make a quick profit by buying the overpriced item from the second scammer with the intent to sell to the first. Once the item has been sold to the victim for the inflated price the two scammers leave the server, close their listings, or block the victim, leaving the victim stuck with the item.

A scammer may ask to borrow a specific item for a short period of time (usually giving some flattering reason to the victim). After the item is given, it won't be returned. Scammers will take advantage of online acquaintances this way if given the chance. Never lend an item you aren't willing to lose to find out if your "friend" is a scammer.