A stepping is a revision of silicon - to be more precise it refers to a change to the mask used to manufacture the chip. This change can for any number of different reasons: to improve bin split (frequency), to fix errata (ie. bugs), to improve yield, to solve an electrical issue and other misc. reasons.
Intel defines steppings in two forms. A letter change is a change to the complete set of masks. A number change only refers to a subset of the masks. So, A1 -> A2 is a change to just a few layers (usually metal), while B0 -> C0 is a change to all layers.
The most important point to remember about steppings is that you shouldn't mix them in a SMP (multi-processor) system. If you have one 733MHz Pentium III cB0 CPU, and you want to add in another to make a dual-processor setup, then I strongly recommend getting another 733MHz Pentium III cB0, and not putting in a 733MHz Pentium III cA2 or a cC0 instead.
Intel does, however, support mixed steppings for Dual Processing operation for certain Pentium IIIs. Full details, along with the Mixed Stepping Matrix, are contained in the Intel Pentium III Specification Update.
You could think of it as a software release. But it's worth mentioning that rarely steppings are released that may have no notable diffence to the prior stepping as far as the end-user is concerned. A stepping for a yield improvement would not be noticeable at all to the home user. Software releases are almost always released for a reason that would be noticeable to the end-user.
And yes, later should always be better.