1. The games themselves, including the saves for many of the games, are in your Program Files\Steam\Steamapps folder.
2. The rest of the saves are generally in My Docs or occasionally app data or your root directory
3. You can back up the games so you do not have to redownload by going to your Steam library, right clicking a game you want to backup and clicking backup local content. Then select each game.you want, follow the wizard and you are done. To then get them back, from the Steam client go to Steam > restore from a backup (the exact menu option is something like that, I am not on my computer to check the exact wording)