If you don't mind having to run a closed system engine (they're most efficient, anyway, a true Rankine cycle), pretty much any fluid that has been used in refrigeration can also be used in a vapor engine. There was actually a serious proposal back in the 1970s to build a steam powered car that used R-12 Freon as its working fluid (this was several years before that particular chlorofluorocarbon was banned due to its ozone layer damaging chemistry, but the same system could run on a mixture of propane and butane).
As another answer has noted, water has the powerful advantages of being almost universally available, non-toxic, and carrying an immense amount of energy (compared to virtually any other substance) in its phase changes. You simply cannot beat that combination of qualities with any other material -- and most of the other working fluids that have been tried in "steam" engines have to be kept under pressure to maintain them as liquid on the "cold" side of the engine.
An alternative that has much better potential than some alternative liquid in a Rankine cycle is to use a different heat engine cycle. The Stirling cycle can use nearly any gas, though Stirling engines are most commonly made to use air as their working fluid. They tend to have less power output than comparably sized steam engines, until you consider the size and mass of the boiler. Stirling engines can also be built to operate on very low temperature difference -- there are videos of model size Stirling engines running well from the heat of a cup of tea, or from the cold of a single ice cube sitting on one exchange plate, even from the heat of sitting on someone's palm in a comfortable room.
Stirling engines can be used in any climate (no water to freeze, no issues with being in a hypothetical desert too hot for the condenser to operate) as long as you don't exceed the heat tolerances of the construction materials, and can produce a suitable temperature differential (in Stirling engines made to actually power something, this is usually done by putting the hot end directly into a flame, though concentrated sunlight also makes a good heat input).