So given the class below this is how I would fake the data
 

public class MyController {
    public Account acct { get; set; }
    public Contact con { get; set; }
    public Case kase { get; set; }
    public Entitlement ent { get; set; }

    public PageReference stepOne() {
        insert this.acct;

        this.ent = new Entitlement(
            Name = 'Trial entitlement',
            AccountId = this.acct.Id
        );
        return Page.WizardStepTwo;
    }

    public PageReference stepTwo() {
        this.acct = [
            select Custom_FormulaField__c
            from Account
            where Id = :this.acct.Id
        ];

        this.con.AccountId = this.acct.Id;
        this.con.CustomField__c = this.acct.Custom_FormulaField__c;
        insert this.con;

        return Page.WizardStepThree;
    }

    public PageReference stepThree() {
        this.kase.EntitlementId = this.ent.Id;
        this.kase.ContactId = this.con.Id;
        this.kase.AccountId = this.acct.Id;
        insert this.kase;

        return Page.WizardComplete;
    }
}

This class is a little silly but each step builds on the previous step.  So testing step one of the controller is pretty easy because it's just populating the this.acct variable and then making sure it gets inserted correctly.  But we don't want to have to run through step 1 and 2 to test step three.  So we would fake it like in the test method below
 

static testMethod void stepThreeTest() {
    Account testAccount = new Account(
        Name = 'Test Account'
    );
    insert testAccount;

    Contact testContact = new Contact(
        AccountId = testAccount.Id,
        FirstName = 'Bob',
        LastName = 'Dole',
        CustomField__c = 'Something'
    );
    insert testContact;

    Entitlement testEntitlement = new Entitlement(
        AccountId = testAccount.Id,
        Name = 'Trial entitlement'
    );
    insert testEntitlement;

    Case testCase = new Case(
        Subject = 'Test subject',
        Description = 'Test description'
    );

    MyController controller = new MyController();
    controller.acct = testAccount;
    controller.con = testContact;
    controller.ent = testEntitlement;

    Test.startTest();

    PageReference result = controller.stepThree();

    Test.stopTest();

    System.assertNotEquals(
        null,
        controller.kase.Id,
        'The case was not inserted'
    );

    System.assertEquals(
        testAccount.Id,
        controller.kase.AccountId,
        'The account was not set'
    );

    System.assertEquals(
        testContact.Id,
        controller.kase.ContactId,
        'The contact was not set'
    );

    System.assertEquals(
        testEntitlement.Id,
        controller.kase.EntitlementId,
        'The entitlement was not set'
    );
}

In the test above our governor limits will read as 0 for SOQL and 1 for DML for the code ran between the start/stopTest and will be 0 for SOQL and 3 for DML outside the start/stopTest.  If we did not fake the data (like the CustomField__c on the Contact) we would have a SOQL query.  This example doesn't really show how you could save a bunch of SOQL/DML but it does scale.