Say that I'm playing a game that's available on both systems (Mass Effect for example). Will my in game achievements be tracked on both?
The only service that I know that is able to track achievements from different platforms (Steam, XBox Live and Playstation Network) is Raptr.
It tracks also the games (any game not only those you have in Steam) your are playing on PC.
You will only get the achievements on whatever system you bought the game for. So, if you got the XBox version of Mass Effect, you will get XBox Live achievements. If you play Games for Windows Live version, you will get GfW Live achievements. If you get the game from Steam... you get the idea.
Fun fact: if you want to boost your Microsoft gamerpoint score, you can play the same game on the XBox and on the PC if it has a GfW Live hook-up and double-up on the achievements.