Alex Rodriguez tested positive for steroids in 2003 according to Sports Illustrated. They say that two sources independently verified this. The test in 2003 was supposed to be anonymous, but federal agents took the results in 2004. Rodriguez is not commenting on the matter. There were no penalties associated with testing positive for steroids in 2003.
You can read more at http://sportsillustrated.cnn.com/2009/baseball/mlb/02/07/alex-rodriguez-steroids/index.html?eref=T1.