If you delete something from a hard drive and immediately stop what you're doing and run some kind of recovery program, you have a chance at getting your data back. If it's been a while, it's possible (probable?) that you've overwritten the file with another file by now, in which case you're screwed. For something as replaceable as a video game save file, it's likely not worth the effort.

There are also forensic companies that can get files back (somehow) from hard drives even if you format the thing and overwrite the whole drive with 0's. One of my professors said he worked for the government and when they throw away hard drives, they erase them, de-magnetize them (or over-magnetize them? no idea), sand-blast the platters and then dissolve the platters' surface with some kind of corrosive. Not sure of the truth of that, but it's actually pretty hard to permanently dispose of the data on a hard drive.