It depends on the game... some games store the saves in their own folders, some store them in My Documents, some store them in "hidden folders" in the Appdata area (which should invoke justifiable homicide). Usually they're titled something that makes sense like "Saves" or "Gamesaves". Just browse around in your steam game folder and in your My Documents area.
Skyrim, for example, stores stuff in the "My Games" subfolder under Documents called the "Skyrim" folder. For Skyrim, I'm actually using a profile game save manager that organizes by character so its much simpler to run several characters in parallel. It's called
TES V Save Game Manager and is available on the Nexus site. It has a feature to back up all your profiles (characters and their savegames) anywhere you select. There are a dozen or so others if that one doesn't float your boat.