INSIDE. Great game with more than one ending.
F.E.A.R. Great spooky/fps game.
S.T.A.L.K.E.R. series. An fps game where you can't "run 'n'gun" because you'll die, lots. Even the weather will kill you in this game, let alone the Hamsters. Ye gads, those Hamsters!
Dungeon Souls. A perma-death with crafting that you don't lose.
Terraria. Sooooooo much got added free to this game that was already overloaded with stuff to do. Modable too.
Dying Light:The following. (steam version). Can be modded & load more stuff coming for free this year.
SLAIN: Back from Hell. Great pixellated hack 'n' slash/jumper with some rockin' metal tunes.
EVERSPACE. A permadeath space game, really good game.
Hammerwatch. A Gauntlet type game with single player or co-po.
Layers of Fear. A spooky game with lots of "wth's going on!?".
Lil Inferno. A great bizzarre game where you get to set fire to things

Metro series.
Dust: An Elysian tale. Amazingly good 2D hack 'n' slash.
Banished. Great city builder that can be modded. Especially as it was made by one person.
Shadow Warrior 1/2. Everyone needs more Wang.
Amnesia: The Dark Descent/SOMA or anything by Frictional Games.
Spelunky. Permadeath platformer.
99 levels to Hell. Permadeath platformer.
The Solus Project. RPG with some crafting & spooky dolls.
The Swapper. Spooky platformer/puzzler with more than one ending.
Unepic. Funny 2D platformer.