The deal with steganography is that the resulting message doesn't look like it's encoded.
Exactly: as Faldage notes, there's a distinction.

For example, if you and I exchange messages using a "Caesar shift" as above [e.g., replace each letter with the letter which follows it int the alphabet], then (as an above post stated), "the files can then be exchanged without any third party knowing what really lies inside of them." However, the snoop would at least know that we were sending some kind of hidden message.

That isn't steganography; its cipher. With steganography, you conceal the fact that any special message exists -- of course you also might, and commonly would, encipher or encode the message. ("Code" is technically not the same thing as cipher, but is also non-steganograhic.)

Example: if you're trying to send a hidden message out of a prison where they censor your mailings, a code/cipher won't do; you need steganograph. A practical means is to send a chatty, innocent message using handwritten script, where your pen would normally "flow" from one letter to the next, not lifting the pen off the page. If you "lift the pen" immediately before selected letters, isconnecting each from the letter preceding, those selected letters can send a steganographic message.