Okay, I'll admit, I haven't played that many true indie games, ie stuff you can't find on Xbox arcade. Cave story is probably the best I've played, but I suppose that's a pretty obvious one. However, I must say I was very impressed with the Iconoclasts demo; I could see the full game being as good as cave story if it keeps up the level of quality that's already there. A few more I've come across:
Sonic Robo Blast: Really fascinating game, made with the old doom engine; it manages to fuse the game-play of sonic the hedgehog with Fps elements. The levels are huge, and the graphics, while low res, have a strange appeal to them. Really unique.
rRootage: Neat bulletstorm shooter; played a port of it on my psp; really fun game. Enemies are auto-generated somehow, and spout enormously complex bullet patterns. Interestingly though, the bullets often move slower than other bullet hell games, and your ship has a tiny, tiny hit box, so it's possible to really weave in and out of bullets.
powder: By Dan-ball. Just found this a few days ago while reading about 2d physics simulation; literally a 'sandbox' game. Could spend hours playing with this.
Rhythm 8: Not quite a game, but an incredible homebrew music app built for the psp; unfortunately not developed anymore, but it's rock stable and really fun.
Anyway, that's my paltry list. What about you guys?