I've never used Windows Live mainly because I haven't bought many non-Steam exclusive PC games lately (I've been nabbing everything for Xbox 360).
I've purposely avoided some games on the PC that use it because I hate having to have all these different versions of the same thing. Gamespy, Steam, Windows Live, and for a while I think EA tried (and maybe is still using) some sort of 'download manager'. It seems to ruin the point of say, a unified friends list if your friends are spread about amongst three or four different programs.
Somewhat related - I was really disappointed when I found out that, despite buying Borderlands ON STEAM, I was forced to play through Gamespy's online system. That meant that my friends list didn't carry over and I had a lot of trouble getting my account set up. At least it's in the game engine though, and it doesn't force us to download their client.