Just to clarify what occurred to me for the sake of others having the same difficulties:
As with jbone above, the Steam version kept crashing just after entering the glowing hydraulic door near the end of the game. It went to the loading screen with the narrative text on and then crashed to the desktop displaying the Black Box crash dialogue boxes above.
I tried clearing the settings.cfg, the core/cache folder, reinstalled it, verified the integrity of the game cache, applied the ATI hotfix and still no luck.
After some more hunting it turned out that the game needed patching using the 1.03 patch which you can download
here. I know Steam is supposed to keep the version up to date but for some reason it can be bodged and the above patch needs to be applied. Please note that the installation path is slightly different for the Steam version. It should be:
<SteamPath>\steamapps\common\penumbra overture\
The patch will try to put "episode 1" at the end; this isn't needed so delete it. After that it should work fine! Check in the folder though to be sure as I did it incorrectly at first.
Oddly however, the version I downloaded from the Frictional Games online store crashed at the bottom of the stairs AFTER the glowing hydraulic door as described above. I haven't tried solving that so it may be worth trying the above.
I hope that helps.