GFWL only. I hate Steam. I don't see the problems people have with GFWL, I never had any trouble with it. It doesn't even change anything?
There is a difference between "Games for Windows" (Which is displayed at the bottom of your screen) and 'Games for Windows -Live". "Games for Windows" is branding by Microsoft which certifies that the game meets certain requirements such as 64 bit compatibility (Though the game itself can be 32 bit), compatibility with the Games Explorer, an "Easy Install Option", and a few other things. 'Games for Windows -Live" is a optional service for games that are certified with "Games for Windows" all Live does is provide a DLC and updating service, friends, messages, achievements, ect.
I have not heard anything about Skyrim having GFWL needed. Just because a game is GFW doesn't mean it wont be released on Steam (Civ for example).