How to enter a custom server
You have two main options that I know of:
In game, press F1 and enter: net.connect 000.000.000.000:00000
Use a Steam link in a browser, such as: steam://connect/000.000.000.000:00000
(Obviously, replace 000.000.000.000:00000 with an IP of your choice)
I think this may have changed since the question was originally asked. Here's how you connect now.
client.connect [IP Address]:[Port (default: 28015)]
Example: client.connect 127.0.0.1:28015