Any program that stores user-specific data- things like high scores, preferences, settings, etc. should be storing them in the Application Data folder. This usually maps to a folder in the users profile folder. For example, on my system it maps to "C:\Users\BC_Programming\AppData\Roaming". Changing the location of the user profile will change the location of that folder, and I believe some tweak tools can be used to change individual folder mappings for a user, though how robust a solution that will be is another story. And there is of course registry settings which are stored in dat files in the user profile as well.
Usually an uninstaller will remove (and it is supposed to by convention) any registry keys or files it's corresponding installer created or added. However it will often leave behind user data (or occasionally, you will be prompted) on the premise that you are uninstalling the program, but not necessarily the data created with that program. Usually if this occurs you can remove the data by deleting the corresponding folder in %APPDATA%.
