Since Jarath posted links to his favourite freeware games, I might as well do the same.
In my case it's only one game, but it doesn't matter, because it's EPICLY AWESOME, IMO anyway. Anyways the game is... *pointless drumroll*
Cave Story - Doukutsu Monogatari
This is a game made by a lone Japanese called Pixel (real name Daisuke Amaya) a couple of years back. Gameplaywise I guess it most resembles 2D-Metroids with some Zelda-ish elements; It's a sidescrolling platformer/shooter, you can shoot up and down (and in front if it wasn't obvious enough), you can get life upgrades and new weapons throughout the game. Weapons are leveled up by collecting exp that enemies drop, and get leveled down if you get hurt, which is an interesting gameplay mechanic. You have to choose over some weapons as there is no way to get them all in a single playthough. Furthermore, there are multiple endings, so replay value is surprisingly high.
Oh, and it's soon out on WiiWare, supposedly in October in Europe. This version features updated grafics and music (you can choose between old and new) and apparently some DLC in the form of time attack and armored (enemies) modes.