Yes, as V_R says, some do some don't and Saves from games in the Steam Folder can crop up all over the show.
Here's a few locations in Win 7, all drive C: My Documents; Program Files (x86); Program Data; Users/Your Name/ Game Saves; Users/App Data/Local; Users/Your Name/App Data/Roaming and of course within the Steam folder itself.
And I've probably missed a location or two. Don't make it easy do they? Best thing is to make a note of each location then save all your saves to a dedicated folder and reinstall them after Steam reinstall.
Good luck