Bought it on Steam, though it got no metascore ratings. Now I want to play it :D

I've been playing La Mulana off and on for a while now, which is an extremely retro Metroidvania with quite a few riddles and traps to mess with you. It's a lot of fun and pretty long, but be prepared to get stuck a few times. The game is freeware, but you'll want the English translation patch if you can't read Japanese (I can't).

Technically Valve is independent since they publish their own games, right?

EA publishes their games at retail. Anyways, I think it's safe to call Valve one of the big dogs now, as they do publish other people's games (on Steam).

1893 - A World's Fair Mystery
http://www.illuminatedlantern.com/if/
Other good games on the site as well. Great interactive fiction. Old school, but still rocks.

There is also a mindfuck game called "The Dark Eye"
http://www.youtube.com/watch?v=xgCArhoTDmE
Page is down, does anyone know where to get a copy?

Lunnye Devitsy
Dirt cheap ($3.19) from GamersGate: http://www.gamersgate.com/DD-LD/lunnye-devitsy
Or $3.20 direct from the devs: http://bossbaddie.com/lunnye.html
You get the soundtrack too. And there's a timed demo available.

GridRunner Revolution-
This was already mentioned, but it deserves a second mention. This is more of a psychedelic trance-inducing experience than it is a game, yet it also bring back the feel of early 80s arcade games better than anything else out there.
Here are some that haven't been mentioned yet...
Galcon Fusion-
It's like Risk with angry triangles. More fun than you would guess from the preview videos.
Hammerfight-
Brilliant gameplay. You pilot a flying ship with a giant mace. You swirl the mouse in circles to swing the mace in battle. This makes your ship flail around as the mouse also controls movement. It feels really good when you connect with a vicious hammer drop.
iji-
This is a game like a blend of Another World and Metroid. Great fun.
Misadventures of P.B. Winterbottom-
This is a great puzzle game that plays very similar to Braid, but it is much more whimsical and funny and has the look of a silent era movie.
Super Laser Racer-
This is like Tron meets Mario Kart. You race against others from an overhead perspective with neon lit shapes representing your vehicles. Pick up different style weapons along the way to hinder your opponents driving abilities.
Synaesthete-
Guitar Hero meets Berzerk. Slam keys in time with the music to shoot lasers to bring peace and harmony.
Trine-
Part puzzle, part platformer. Switch between 3 characters to solve puzzles. Requires good reflexes and smarts.
The Void-
This is a beautiful game to witness. It has a dark and sexy atmosphere to it. It's hard to explain... best you just play it.

"Misadventures of P.B. Winterbottom "
I would happily buy it from the developer.

Only available on Steam unless, of course, you're using a Xbox360

i know :(

At any rate, it's not Ubisoft DRM or GWL or whatever the last one is called, so fine by me.

Eschalon Book I and Eschalon Book II. Awesome games from Basilisk Games.