Cave Story - Obvious, with the PC version still free.
Eversion - Still free from the developer's website. Not for children or those of a nervous disposition, and made DeceasedCrab go insane.
Iji - Daniel Remar's indie game on choice and morality in the face of an alien invasion.
Hero Core - Another Remar game, with very retro graphics, metroidvania levels and robots.
La Mulana - Massive, excellent game about exploring ruins with a ninja Indiana Jones.
Minecraft - Though the full on version costs about 20 bucks, Classic and Browser are still free.
Nifflas' games - Within a Deep Forest and Knytt are free, while his other games are reasonably cheap. Puzzle games with great atmosphere.
Chzo Mythos - Yahtzee's shot at making games, still for free.
Katawa Shoujo - Though Ch.1 is the only available build currently out. Visual Novel about a school for the disabled, with surprisingly good writing and interesting characters. The game itself is safe, though it plans to be a Ren-Ai game [Think Tsukihime].