Robot Wants series (metroidvania, shooter, difficult): Robot Wants Puppy and Robot Wants Fishy are frustrating; Robot Wants Kitty and Robot Wants Ice Cream are tricky but fun.
Cave Story: Platformer with gorgeous graphics and story, but a bit tricky for me.
Kaipuu (100% complete): Another fun exploration game, but controls are a bit buggy.
Kavalmaja: Would have been more fun if it didn't glitch and lose several hours' progress.
Knytt (100% complete): Absolutely gorgeous; gameplay is simple, but it's all about the atmosphere.
Knytt Stories: Knytt's atmosphere, with trickier gameplay. Lots of fun, and downloadable levels can keep you busy forever (Don't Eat the Mushroom = A+).