Steal is a Skill used by either the Thief, Rogue, Assassin, or Whisper classes. It is an ability they have along with the lock picking ability (except in FE4) that allows them to open doors without keys and also open chests without chest keys.
Steal in most games
Steal allows the player to take an unequipped item from an adjacent foe. This allows a player to take desired items other than those that are already automatically dropped by enemies. When an item is stolen it is then added to the thief's inventory, if a thief has a full inventory (or in the case of Path of Radiance, if the section of inventory in which the item belongs) is full, the item can not be stolen from the enemy. This can be fixed by Trading the item to another one of the player's characters.
For an item to be stolen, the Thief/Assassin/Rogue/Whisper doing the stealing must have a Speed stat higher than the unit they are stealing from. However, this is rarely an issue due to their naturally high speed. Additionally, when stealing a weapon, the thief's Strength stat must be higher than the weapon's Weight. Equipped or locked weapons can not be stolen, and before Fire Emblem: Path of Radiance, weapons could not be stolen at all.
Steal is one of the three soldier skills that are in Fire Emblem: Path of Radiance. The others are Knife (the ability to wield knives, which thieves also had), and Lumina (the ability to use light magic). In the sequel Fire Emblem: Radiant Dawn knives became their own Weapon Type. The soldier skills were seperated from the 'Citizen' skills on the character information page. Also soldier skills could not be removed, there was no skill cost for them, and there were no scrolls that taught them (although magic users could gain the ability to use knives or staves upon promoting).
In Radiant Dawn Steal was completely adopted into the then better developed skill system. It became simply a skill all thieves had (Volke, Sothe and Heather). Like in Path of Radiance it had no skill cost and also it could not be removed from a character with it.
Steal in Seisen no Keifu
In Fire Emblem: Seisen no Keifu if a unit has the steal skill they will take gold off enemy units when they attack them and they cannot steal items.