Note: Since my area of expertise is with peptide hormones, I will offer a partial answer.
Steroid hormones are carried through the circulation by binding to globular proteins. When these hormones are released from binding proteins, the classical route of action is by free diffusion through the cell membrane. This diffusion is due to their aromatic structure. You rightly point out that the classical receptors of these hormones are found in the cytoplasm or nucleus. For example, estrogen signalling as a classic signalling template which has genomic (DNA) and non-genomic (protein) targets to exert its effects.
Non-canonical signalling can occur through at least one G-protein coupled receptor (GPCR). Unlike most GPCR's which are localized to the cell membrane, GPR30 appears to be localized to the endoplasmic reticulum, which means steroid signalling still occurs through canonical means and also this newer pathway.
Then again, there are also steroid effects that modulate ion channels, for example GABA receptors. These are not specific receptors where only a steroid hormone can have an effect, yet they can activate or inhibit the effects (along with other drugs).