The US has a mixture of systems. I'm not sure what the prevalence is, but I've lived in homes with both steam and hot water heating.
Steam offers the following advantages:
- One-pipe systems
- More heat transfer for a given radiator surface
- No distribution pumps
Steam offers the following drawbacks:
- Furnace needs to be a low point
- Finicky distribution
Modern installations tend to favor hot water. The New England region has a legacy of steam heat that stems from coal furnaces and basements. Those systems were selected a century ago, and refit would require replacing the entire system. Steam was the leading technology in New England during its greatest period of growth.
Further, New York City had a substantial influence in the area with its district steam heat operations. Also, another good article that discusses steam legacy, why replacement is a bear, and how steam works in general.
Finally, in large distribution environments, there's the high pressure factor. If you need to move a lot of heat energy, you can do so space-efficiently with high pressure steam (smaller pipes). Harvard's Blackstone Steam Plant heats over 160 buildings and drives a 5 megawatt turbine. At larger scales like this, the thermal loss at the chimney is far lower than the combined loss that would be had from running at sub-boiling temperatures.