One of the most challenging (and addicting) indie games you will ever try is Super Meat Boy. There you take the role of Meat Boy, the hero on a quest through hundreds of hazardous levels to save his girlfriend Bangage Girl from the mentally unstable Dr. Fetus. It's one of those platform games where perfect control and timing is crucial to win, it starts off easy but the difficulty scales up fast and soon enough you find yourself often dying (and if you're like me, cursing the world and smashing your keyboard) a million times before finally managing to get through some levels.
It's sort of reminiscent of I Wanna Be The Guy, albeit with the borderline-masochistic difficulty slightly tuned down. The game becomes specially hard if you're a completionist nut that just has to collect every single item, pass every single level with the A-grade time and unlock all the extra characters. But it's all in good fun.
I for one can't get enough of it, you probably won't be able to either.