Where does the phrase "to steal the show" come from? Lately I've heard it used for a movie.
When someone or something steals the show, they are the unexpected focus of (positive) attention. If you go to a movie starring George Clooney, but realize afterward that all the scenes with a relatively unknown actress are the ones that you enjoyed most, you could say that the actress has stolen the show; you went with the expectation of enjoying George Clooney but found yourself largely ignoring him in favor of focusing on someone else entirely.
It means to focus (or steal) all the attention at an event (you're stealing all the attention of the show).
The New Oxford American Dictionary says: “to attract the most attention and praise”.