Depends on the game. Many recent titles use the Steam Cloud. If that be your case, you could reformat your PC and still have access to those saved games once reinstalled.
Older games on the other hand will require that your make a backup of your files (if they're in the STEAM folder). Some games put your savegames in your "My Document/MyGames" folder...and so on.
so...it depends on which games you're referring too...