RavenX posted a list of indie games a while ago, and I thought I'd post a list of some lesser known indie gems myself.
7 Days to Die
This is a voxel survival sandbox best described, I think, as a mashup of DayZ and Minecraft with a dose of the tower-defence genre. During the day, you explore, scavenge ruined buildings for food and water, and collect the wood and other materials needed to craft weapons and traps, and to build a shelter, much like you would in Minecraft, while avoiding the shuffling zombies. But at night the zombies become faster, more persistent, and attack in waves. While the game is only in alpha, it's showing a lot of promise. The nightly sieges can be quite intense, as the zombies are able to smash through doors, windows, and with enough effort, even walls. And if you play on a multiplayer server, you're faced with others who may wish to help you, or to rob you blind.
Another voxel sandbox, Star Made is essentially Minecraft in space, where you can build spaceships, hangers, and even space stations from the blocks you mine, trade, or kill for. Build a ship, block by block, mine some asteroids, fight AI and player pirates, visit planets, build a base complete with automated defence turrets... what's not to love? I also enjoy that the weapon systems are fully customizable; you could use the default missiles launchers, or customize them to increase explosion radius at expense of range, or range at expense of fire rate, or any which way you want. This one is also in alpha, but it's showing a lot of promise.
Space Station 13
I'm not sure how to even begin describing SS13. It's one of the most intimidatingly deep games I've ever played. It's dark, often funny, and intense. Here's something from the wiki:
"Deep in space in distant orbit of a nearby gas giant that exhibits strange properties, Space Station 13 was built. Only the most professional of experts and personnel have been staffed here and its secrecy of construction and location guarantee it to be a safe and productive experience."
SS13 is a 2d multiplayer survival role playing game that takes place on a space station where things are about go wrong. You play the role of one of over 40 jobs, from janitor or mine, to space ninja or the station's AI, and you have to simple goals of keeping the station going, and keeping yourself alive, neither of which proves to be very easy. Each round has the crew trying to survive some sort of catastrophe, which generally come in two flavours: a disaster, like a meteor storm or rogue AI, or an attack, such as a rebellion or a infiltration of changelings. The attacks tend to be the most interesting, as you don't know who is working against the station without catching them in the act. This is even harder in the case of the changeling, who can take on the name and appearance of anyone they consume. And even those who aren't secretly out to assassinate a particular person or the entire crew tend to look to their own interests. It becomes a game of suspicion, deception, and hidden agendas.
Some of the roles are relatively simple, like the janitor, who's only real duty is to clean up messes, blood, and replace light bulbs (though that doesn't mean he's helpless...), while others, like the various engineering, medical, and scientific roles are complex enough that having the wiki on hand is essentially mandatory. The chemists, for instance, can synthesize dozens of compounds, some of which are necessary for others to do their jobs, some of which are illicit, like space drugs, and some of which are outright deadly. Geneticists can meddle with the DNA of other players, create clones, and such, none of which is a simple process.
On the down side, the complexity and depth, coupled with an unintuitive UI, give the game a truly steep learning curve. It's also not a pretty game, in any way. But, again quoting the wiki: "At a glance it looks like crap, but give it a few rounds and you'll realize just how frustratingly fun it can be."
I still haven't done the game justice. All I can say is that I can't get enough of this game. Even so, watch some Lets Play videos before you jump in.