Update 2015-11-05

You can now hold down the controller button for 4 seconds without launching Big Picture at the same time!

This change has been in the beta channel for a while, but it seems to have made it to a stable release from this update post.

Changed controller Steam/Xbox button behavior to fix a collision with the hold-down-for-4-seconds method of turning off the controller:
Old behavior: Hold down 3 seconds to launch Big Picture (or single press if you were in desktop Steam).
New behavior: Pressing once will change focus to Steam if it doesn’t have focus. If it has focus, pressing once will launch Big Picture.

Original Post

According to a Steam community post, there are currently 3 options to turn off the Steam controller:

Hold the Steam Controller’s “Steam Button” Down for about 5 seconds
If you’re not already in the Big Picture mode, this has the downside of launching Big Picture Mode at the same time the controller shuts down. I would quantify this as a bug which needs to be addressed.

Big Picture Mode Power Menu
While the controller is on and in use by your PC, clicking the Big Picture Mode’s Power Menu Button will list a ‘Turn Off Controller’ option.

Idle Timer
Leaving the controller alone for a length of time will cause the controller to turn off. The default setting is 15 minutes. This is configurable in the Big Picture Mode’s Settings -> Controller menu, with 15 minutes being the minimum setting and 120 minutes being the maximum setting, with an additional option to have the controller never time out as well.

Here’s to hoping they fix the the first one.