So what you need to do is buy the game on Steam, copy the CD Key, activate it on your Games For Windows Live account and then request a refund on Steam.
Now, you have the license on your GFWL account and your money back, so you got the game for free.
You cannot launch it through Steam anymore, so you need to go to the game folder (located in steamapps) and launch it with the .exe file.
I did this with Grand Theft Auto IV: Complete Edition and TRON: Evolution and it worked fine.
Unfortunately, there aren't many games using Games For Windows Live, but at least you can get GTA IV (and the DLC's) for free .
You can also use the CD key more than once, so if you get a game you can give your CD key to a friend so he doesn't need to spend money on the game and then wait for the refund, and you can play multiplayer together.
I don't think it has been posted here before, and I think it is pretty nice, even though you cannot get many games, and they are pretty old, but they are free, and now, with the Steam Holiday Sale, you don't need to invest much. For example, GTA IV Complete Edition is 6 euros, and I think it is the best game you can get using this exploit. I hope I helped.