You only get steam achievements. Bit of a shame, but at least you're freed from the crappy games for windows live interface and save game management.
By the sounds of it, people are losing significant progress because of Steam Cloud issues. At least with FO3, people weren't losing significant progress, the only problem with that was people were playing the game with an offline profile, then making an online profile and complaining their saves were "missing" only to find out that the saves were in a slightly different directory. Once they were moved they had access to them again. Personally, I'd rather have GFWL.