The actual sign-in process returns very little information to the third party service/website - [nothing more than the 64-bit SteamID for your account][1]. 

The actual return is a JSON object containing a URL matching `http://steamcommunity.com/openid/id/$steamID_64`

> 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/<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 worth noting that most data isn't available unless your profile is public, whilst the other answer lists the private data possible). This is **not** a part of the login process, and they can get this info with or without you logging in (by checking the 64-bit Steam ID).


  [1]: http://steamcommunity.com/dev