I feel like people must be tired of me recommending the same few games (you know, if anyone cared enough to read all my comments), but I'm the type of guy who is pretty much only interested in finding the more hidden gems, and I generally ignore the stuff that keeps showing up on the front page of Steam.
The Upturned - A cartoony horror-comedy game with a great sense of humor.
Withering Rooms - The story is interesting and the atmosphere is great.
Your Spider - This one is possibly my favorite indie horror game.
Exanima - Read about the features. This one is more impressive than the screenshots make it look (at least for me).
Lunacid - I love the visual style and atmosphere of this. I also enjoyed Lost in Vivo by the same developer.
Praey for the Gods - This one is for anyone who's looking for more games like Shadow of the Collossus.
8Doors: Arum's Afterlife - This is a decent metroidvania with a charming story. If you enjoyed Hollow Knight, then you may also enjoy this.