While I don't have a console, I play indie games on the PC.
Some of my favorites:
The Binding of Issac - Roguelike/Zeldaish game
Dungeons of Dredmor - another Roguelike game
Darwinia - reminds me a bit of Powermonger
Botanicula - point-and-click adventure/puzzle game
While I have these installed via Steam, I bought them through several Humble Bundles. Buying them that way you also get Linux, Mac and Windows versions and they don't have any DRM.