in the indie bracket i can suggest aquaria and An Untitled Story
aquaria is pay, but there's a free demo. it's metroid underwater basically.
an untitled story is a free indie game where you play as an egg and have to explore the world, basically. a bunch of storyline happens in the later part of the game, and it took me a day of solid playing to beat it, not finding all the secrets.
obviously cave story and it's predecessor ikachan are worth a play, too.
and knytt stories and it's plethora of downloadable extra levels.. seiklus is a good ye olde indie metroid 'em up too.
there are others in the same vein but i can't remember them right now.