Finally found the save files location for Splinter Cell - GOG, thanks to an old tip by Namur in the general discussion thread. Thought it could be useful to post it here since it was the first place I checked myself.

It is for Win 7, but think it's the same for Vista.

C:\Users\<User>\App Data\Local\Virtual Store\Program Files\Gog.com\Splinter Cell

Replace 'Program Files' with 'Program Files (x86)' for 64bit

Huh? It's totally in the game folder for me, just ...\Splinter Cell\Save. o_0
(GOG version too, though not installed to the default directory)

I installed the game in the default directory.

I do have a save folder in that game directory, but it is empty. That is when I started scratching my head.

Well, people will have multiple possibilities of places to look lol