I can't recommend Valdis Story enough. It's a completely underrated "metroidvania" great combat, great exploration. The combat is smooth and clean with a great combo system. There are 4 playable characters who each have very different fighting styles and on top of that each character has different weapon loadouts that iterate further on those mechanical differences. Add in a great leveling and spell system and you have a true classic!
A mindblowing first person puzzler. I mean that with no irony. Antichamber is a brilliant way to have you mind opened to some of the under-realized possibilities in gaming.
Fantastic first person dungeon crawling. Great puzzles and solid strategic combat. I love this game. I bought it day one full price and it was completely worth it.
The Original is also fantastic. I heartily recommend both. If you are not sure about jumping in, the first game is only 3 dollars and it is quite similar to the second, with fewer bells and whistles.
Cave Story is a great 2d side scroller shooter with branching paths, lots of hidden stuff to find and a high skill cap. The game requires you to be really skilled to conquer its toughest challenges but it's rewarding. If you haven't played Cave Story you are missing out on one of the first (and most important) "indie" classics.