The game company Evil Hat Productions (http://www.evilhat.com/home/) has a series of RPGs based on the FATE system. One of their settings, "Spirit of the Century," is a pulp game with some dieselpunk vibes. In addition to the core book, there are three supplements.
Plus, if you don't like RPGs, there is also a card game (Zeppelin Attack) and a board-style game (Race to Adventure) in the set same world. I got Race to Adventure for Christmas and my wife and I finally got a chance to play it today; it was a blast. It's for 2-5 players; you move your "adventurer" to 9 locations to complete missions and have your "passport stamped." The first one to get all 9 "stamps" and return to the Century Club wins. It was so much fun that we not only can't wait to play again, but we plan to get Zeppelin Attack, as well.
And if you want to know more about the world, there are also eight books featuring the core characters (which I now have on my Nook wish list). Overall, "Spirit of the Century" seems like a really fun dieselpunk world to explore!