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Edit 5 billion: Does this mean Live actually has an advantage over Steam for options like this?
Live is advantageous only if you are using multiple Live accounts, but disadvantageous because of the different "save modes" you can be. This article raises some good points/concerns about the online profiles in GFWL: http://www.next-gen.biz/features/should-games-for-windows-live-die?page=0,1
Personally, I'd rather not deal with GFWL.
Online profiles work in much the same way as Xbox Live: you sign up, create a Gamertag and, by being signed in, collect Achievements as you play games. The issue is that, if you start a game while logged in to your account, your saved games are then irrevocably tied to that online profile. If your internet connection is ever unavailable, or if the Games for Windows Live servers aren’t working, then those saves are inaccessible. You cannot play your singleplayer game.
There is an offline mode, but instead of being a solution, it introduces a whole new string of regressive issues. Offline mode acts like a separate version of your account, which means that even when you do enter it, saved games created while online remain inaccessible – they are tied to your online ID. If you’re wise enough to create your saved games in offline mode to begin with, you’ll be unable to use any downloadable content. This means that if you want to continue your Fallout 3 character from offline saves beyond the end of the game and into the Point Lookout DLC, you’ll first have to manually copy the saved games into your online profile’s save folder.
There’s even a third mode with Fallout 3: you can sign out of Games for Windows Live entirely, exiting both online and offline modes. Fallout 3 will tell you that saved games and autosaves are disabled until you log back in at that point, yet you can play and save normally. The catch? Saved games created while in this state are invisible to both online and offline modes. That’s three different modes in which you can save your progress – progress which is invisible in the other modes. Modes that are inherently internet connection dependent.