This article provides a step-by-step tutorial for creating a custom, multistep registration form via the Forms API in Drupal 7. For a Drupal 6 guide, I recommend Multistep registration form in Drupal 6.
Drupal 7's updated Form API makes the process of building multistep forms relatively painless. In combination with the excellent Examples for Developers module, it's really just a matter of copy, paste, and tweak.
We're going to be putting a slightly different spin on the standard approach to creating a multistep form.