The actual sign-in process returns very little information to the third party service/website - nothing more than your Steam Name, and your nothing more than your Steam Name, and your OpenIDOpenID URL (which contains your 64-bit Steam ID).
Steam OpenID Provider
Steam can act as an OpenID provider. This allows your application to authenticate a user's SteamID without requiring them to enter their Steam username or password on your site (which would be a violation of the API Terms of Use.) Just download an OpenID library for your language and platform of choice and use http://steamcommunity.com/openid as the provider. The returned Claimed ID will contain the user's 64-bit SteamID. The Claimed ID format is: http://steamcommunity.com/openid/id/http://steamcommunity.com/openid/id/\<steamid>
Any further information that is returned is made by further calls to the Steam Web API (as shown in the answer by @longtgomjr), and can contain any manner of public information about your profile (it's.
It's worth noting that most data isn't available unless your profile is public - the other answer lists the private data possible). This is not a part of the login process, and they can getthe retrieval of this info with or withoutdata can happen regardless of you logging in (by checking the 64-bit Steam ID).