In reply to VolvoHeretic :
When it's under motion, that's the steam being exhausted from the cylinders.
You'll also get some pulses when they're sitting and running the air brakes, either to maintain pressure or to pump up cars that were just attached. When those run, those have big pistons in them and they make a loud rhythmic bang-bang-bang-bang-bang noise whenever they run. You can feel that throughout the entire locomotive when they're on. Like in this video of #4449's air pumps being run.
Then you also have a blower, which was a nozzle in the smokebox aimed at the "petticoat" at the bottom of the smokestack, which ran off compressed air. When the engine wasn't moving and you didn't have the draft from the exhaust to draft through the firebox, you turn on the blower to create a venturi effect to pull a draft through the flues and keep the fire burning and keep the smoke from filling up the cab. Someone pointed out it was always best to actually turn the blower on shortly before arriving at the station, because the blower piping builds up condensation when it's off and then when you turn it on, for the first couple seconds it mixes that condensation with smoke and cinders in the stack and rains a filthy black rain will leave station personnel and passengers with noticeably altered attire if done at the station.
As for the other appliances, the injector adds water to the boiler, again using a venturi effect, where steam is blown through a nozzle to create a vacuum that sucks water into the boiler and overcomes boiler pressure. Those don't run constantly, but are "fired" when needed and in the cab, you hear a deep rumble as it adds water to the boiler. There is also a pipe that vents the steam being used by the injector and those are aimed straight down under either side of the cab, and when they're firing the injector it'll be blasting steam and water straight down at the ballast. I remember when I was running #611, one crew member was going to have me fire the injector, and the other guy goes "No, don't have him do that. When that handle goes over center, the pressure wants to kick it all the way open and you'll blow a hole to China in the ballast."
Then, there is the dynamo or generator, which sits usually just ahead of the cab and looks like a turbocharger, which it kind of is. On one side, steam is run through to turn an impeller and then exhausted, while what would be the cold side of the turbo is a generator, which would run around 2400 RPM and generate 32 to 37 volts DC. These were only used to light the gauge lighting and interior in the cab, and the headlights and marker lights and number lights on the locomotive and tender. These were not used to light coach lighting. They run pretty much constantly and they have a very distinct, and fairly loud, whine.
Usually right near the dynamo is the safety valve, also called "safety pops" because they "pop off" or a "squirrel's tail" for the shape of the steam plume. There is usually two of them, a lower pressure to bleed off when it gets two high and a second one for if it continues to climb to an unsafe level. Those are very loud and release a large plume of steam straight up in the air when they release for 30 seconds to a minute. You'll see those usually trigger when the engine is sitting at a station and not really using much steam, other than the appliances, or when it's done being hostled. Realistically, you shouldn't really see those being tripped when sitting, and especially not when in motion, since that's a sign of over-firing the engine and keeping the fire hotter and the boiler pressure hotter than it needs to be, plus you're wasting steam pressure and water every time they're open. When O. Winston Link was photographing the N&W under contract, one of the rules was, he could not publish any photos with the safety valves lifted because it was a sign of an improperly fired engine and was indicative of waste, and N&W was trying to frame themselves as an efficient railroad devoid of waste. He said there was many great shot ruined by the safety valve lifting, and there was a location or two where the fireman would be getting pressure up for an approaching hill and lift the valves and he could never get a photo that N&W would approve.
Then you have boiler blowdown valves, which are usually low along the boiler on the sides of the firebox. When water is boiled and turned into steam, only the pure H2O leaves the boiler. But "water" is seldom pure H2O. It usually has other compounds dissolved in it, and most commonly it is elements we usually associate with "rocks" (calcium, etc.) Eventually, these elements become so concentrated that they precipitate from the water and form a scale on the insides of the boiler. Besides taking up space in the boiler, high concentrations of this material tends to make the water produce foam and that foam can get carried over into the the cylinders, and the piston rod can bend or the end cap of the cylinder can be blasted off the end when it tries to compress that water-heavy foam. Either situation tends to ruin the day of the train crew and the Road Foreman of Engines. The even bigger problem is that these sediments can form scale, which is an insulator and separates the water from the source of heat. The reason the boiler material does not melt in the presence of the fire is that the water takes the heat away as steam. If there is insulation between the fire and the water, the metal of the boiler can soften and melt. This can also tend to ruin a man's life... abruptly; it is known as a boiler explosion. So, when an engine had been sitting for a while and not circulating water, you would open those and eject large jets of steam from either side of the locomotive, just ahead of the cab, and blow a bunch of that sediment out. You were then supposed to blowdown the boiler every so often, depending on water conditions. David Page Morgan mentions going to Meredosia to see the two Wabash 2-6-0s that were still running in '55 and "in the first 6 miles to Meredosia both engines were blown down at least four times" because the water quality was so poor and Wabash had cut back on water treatment. Again, not something you want to do excessively, because it wastes a lot of steam pressure and water.
Finally, up near the front at the bottom of the cylinders, you have the cylinder cocks. When the engine sits for a while with it steamed up, you'll get condensation collecting in the cylinders. Again, water doesn't compress, and a bent rod or broken cylinder head ruins everyone's day, so there are relief valves at the bottom of the cylinder to vent steam and water when you start moving after sitting. It'll shoot jets of steam out of the bottom of the cylinders in time with the cylinders when they're opening. You don't want to leave them open permanently, because it's unneeded and you're bleeding off cylinder pressure, and you really don't need to leave them open more than two or three revolutions of the drive wheel, but a lot of your tourist lines leave them open for the first 1/4 mile of the run just for the spectacle. I've been trackside when R&N #425 left Port Clinton and I'll say that by the time that steam gets 5-10 feet from the engine, it's pretty much cold but very wet. It's a bit like being in the middle of a huge sneeze. I've seen people think that people trackside are going to the flesh seared from their body by the steam cylinder cocks, but you you have to be so close that the locomotive would clip you with the running boards or cylinders.