Indeed nice point made, for this is a crisis (the real one, not the game) year. In fact, indie game development is getting better each year and now we can surely have fun and not spend money in high-profile-heavily-marketed games.
I first got contact with indie games the year I spend abroad, with a laptop, a ultrafast college connection and one month of nothing to do during summertime vacation. What was certain boredom in one moment, turned out to be a new different world to try and please all those gaming tastes of mine.
For those who want a fast paced online FPS
my suggestion is Nexuiz [http://www.alientrap.org/nexuiz/], a quake-like deathmatch game that won't make you disappointed. There are several servers to play online and the bots for single-playing present a nice challenge. It's open-source, has plenty of different maps and it's free!
For those interested in some Tron-like light-cycle arena
(just to remember the old movie, or to get the feel of the upcoming TR2N) there are two great options: Armagetron [http://www.armagetronad.net/] and GLTron [http://www.gltron.org/]. Both are underdevelopment games but they can be quite funny to play, especially if you had such pink sweet memories of the flick like I do.
For those into puzzle-solving adventure games
, well ask Mr. Yahtzee, he wrote some really good ones, but not only him. He used the Adventure Game Studio and you can go look for every adventure ever made with this tool in the section AGS Games [http://www.bigbluecup.com/games.php].
Pilot, if space sim
is your thing then you must get into the cockpit of a Vega Strike [http://vegastrike.sourceforge.net/] ship and do what WC
rivateer wanted us to do. In fact, you can enjoy some good old Privateer action in this fine remake [http://priv.solsector.net/] that uses the Vegastrike engine. If you are more like a linear player, then there's the classical Freespace 2 gone open called Freespace Source Code Project [http://scp.indiegames.us/], with plenty of new missions to keep you ready for the next Shivan encounter.
For those who think the space is too far, far way, there are flight sim
fun for you. For those who enjoy a commercial flight there's Flight Gear [http://www.flightgear.org/], if you want some action them I'll let this blog [http://freegamer.blogspot.com/2007/04/open-source-flight-combat.html] do the talk.
Strategy is quite well represented in this indie universe. Turn-based madness, knights, liches, mages, orcs and dragons all fight each other in the Battle for Wesnoth [http://www.wesnoth.org/], acclaimed for it's impressive balance and quality. Worth a shot and worst than heroine addiction.
The best part of most of these games is: you can help improve the game, either translating it, making adjustments, providing new artwork or new missions
These are just a sample of what you can get by not paying anything. Look around for more, this surely is the tip of a huge iceberg.