Limbo is an indie game that was just released on Steam.  The plot: you're in limbo, and you need to find your sister. 

The game is macabre, but very artistic and enjoyable.  It's a physics-based platformer, and from the start to the end, each of the challenges is unique.  You die a lot (because the puzzles are hard), but that's expected, so there are frequent respawn points. 

It's very immersive.  The controls are simple (arrow keys plus a "do stuff" button), and the full screen black and white art and subtle sounds let you get into the game.