I'm catching up on games for approximately the last decade, so...

I play a lot of older games, which are more likely to be discounted more steeply, and there is a heck of a lot of ground to cover here. I'll go by genre. This isn't what I bought, per se, but it's a set of recommendations, depending on what you like.

FPS and other First Person Games:

First off, I can't do a Steam Sale List without talking about Looking Glass Studios. Looking Glass Studios is quite simply one of the most innovative, wildly important videogame developers ever, bar none. Their output is one long list of instant classics, influential, timeless games, and overlooked gems. I can't name a single game they've made that isn't at least worth a look, and isn't in some way novel, over 20 years after their original releases. However, that doesn't mean everything they've made has aged well. Some of these games are hard to approach, and difficult to get into for newcomers. System Shock and Terra Nova: Strike Force Centauri are burdened with overly complex control schemes and poorly emulated (although System Shock got a partial remaster that fixed some of these issues) and System Shock 2 is an intimidatingly complex RPG that's difficult to approach. But then there's Thief. Thief Gold and Thief 2 are still, to my mind, the high water mark for stealth games. They are fun, vibrant games, and while the graphics are a bit ugly the gameplay hasn't aged a day, nor has the story. It takes a fanpatch to make them run well on modern PCs (just google for it...), but the games are available for (get this) $0.97 each. That's a ludicrous bargain.
And if I'm going to talk up Thief, I might as well talk up Deus Ex (developed by a team of Looking Glass adjacent folk at Ion Storm Austin) as well. Considered by many to be one of the greatest games ever made, Deus Ex is something you should at least try to play. It's clunky. It's ugly. It has aged. But there is an incredible game here, an FPS-RPG that lets you approach the situation whatever way you want, and really build the character you want to play. And not being satisfied with being the perennial high water mark in its genre and a celebrated PC classic, Deus Ex is also full of masterful worldbuilding and despite being set in a sci-fi future where every conspiracy theory is true, it's full of sharp, intelligent writing and social commentary that remains relevant today. And once again, it's only $0.97. I mean, come on.
I mentioned System Shock above, and if that caught your fancy but you felt intimidated by the mention of clunky controls and difficult RPG mechanics... well, today's your lucky day, because all of the BioShock games are also on sale! BioShock is... okay, I think most of you know what BioShock is. But it's also a spiritual successor to System Shock. So... y'know. You can get on that if you're late to the party like me.
Doom. Nuff said. You can buy Doom Classic Complete (all the old classic 2.5D Doom games) for about $5. Not only are you buying a piece of gaming history (and some incredibly fun games), as well as a brand new fancy game launcher that makes playing Doom easier than it ever has been (although sourceports are still the way to go if you want to get serious), you're also paying the price of admission into one of the biggest, oldest, and most astonishingly talented and creative modding communities out there. Even if you don't enjoy the vanilla game that much, owning a copy is worth it just for what else comes out built atop it.

RPG:

I already talked up the output of Ion Storm Austin. But what of Ion Storm Dallas, the more... notorious half of Ion Storm? Well, they made a game that's worth the low low price of $0.97 as well. Those of you who know me... no, I'm not saying you should play the infamous Daikatana. That game is horrible, and if you payed $0.97 for it as anything other than a historical curiosity, you deserve a refund. Instead, let me tell you about a game that not enough people even know exists: Anachronox. This is a western-developed JRPG that takes heavy influence from Chrono Trigger, set in the sci-fi future in the middle of an intergalatic hive of scum and villainy. You play as Sly Boots, a private detective and TOTAL LOSER, in his quest to solve another case and hopefully pay this week's rent. The game does have its flaws, but what keeps it going is the writing, which is outstanding. It's a game with a distinctly Douglas Adams-esque sense of humor, and it never takes itself too seriously. It has that ability that the very best RPGs do where it makes you want to walk around and explore every inch of the world, just to see what weird people you'll meet and what crazy stuff they'll say. It doesn't deserved to be as ignored as it is.

Adventure:

I was going to recommend Thimbleweed Park here, a rather nice Ron Gilbert adventure game, but it's not so sharply discounted as all that, and his earlier effort, The Secret of Monkey Island, is $3.50. If you have ever liked adventure games, even a little, you owe it to yourself to go play Monkey Island. It's one of the smartest, funniest, best-designed, best-written, flat-out best adventure games out there, and I really can't recommend it highly enough. Just... play it. Really. It is that good.

RTS:

Our Lord and Savior Starcraft II rules the roost nowadays, but once upon a time there were genuine competition in the RTS space. And one of the biggest names in RTSes was a company called Relic Entertainment. They made a name for themselves off the back of Homeworld, and some Games Workshop came to Relic (or maybe Relic came to them... I dunno) and asked them to make an RTS set in the Glory of the 41st Millienium. And boy, did they deliver. Warhammer 40k: Dawn of War is a fondly remembered and still well-loved RTS. It's spawned many a meme, featured a hecking large quantity of playable factions by the end of its three expansions, and has at least a few campaigns (the first one, and Dark Crusade) that are still worth playing. It's also still getting fan-made mods. Oh right, and it spawned... a lot of memes, as well as Alfabusa's youtube channel. It's $10 for the whole set. Check it out.
Before all of that, though, there were two names that towered over RTS like titans: Warcraft, and Command and Conquer. And while Blizzard may have done its best to ruin its first RTS franchise, EA took some unusual steps to honor the name of Westwood studios and released a remaster of the first two Command and Conquer games on steam. And it's a real piece of art, too: all the pixel art has been redone at high resolution, the whole thing is clean and beautiful, while still being adherent to the spirit of the original (arguably, too adherent, depending on your opinions), and the thing is packed with extras, including levels that were previously console-exclusive, outtakes from the FMV cutscenes, and a whole ton of other little flourishes that make it clear that the team who built this thing absolutely loved Command & Conquer. At $12, it's not exactly a steal, but... oh, wait. I forgot. This game features a soundtrack that has been remastered by Frank Klepacki himself in high quality, as well as recordings of fan-favorite tracks arranged and played by Frank Klepacki and the Tiberian Sons. Forget I said anything, the soundtrack alone is worth the price of admission. It's so, so good.

Puzzle Games:

Do you like MInesweeper? Do you hate how it's brutally unfair and a terrible puzzle game? Have you ever wished that someone made a version of Minesweeper that was... actually good? What about Picross? Would you be interested in a cross between Minesweeper and Picross that's an actually good puzzle game? You are very strange. But your day has come. The Hexcells trilogy, by Matthew Brown, is $2.69 for three of the greatest puzzle games ever released to computers. It's a stunning, incredible set of games, full of complexity without ever feeling complicated. Hexcells feels a classic puzzle game that you only just uncovered, like it was hidden somewhere off to the side of your paper's sudoku column for the past fifteen years. And it's so, so good. Matthew's other logic puzzles are also excellent, although none of them quite hit the same mark.
And no mention of puzzle games from me would be complete unless I touched on Zachtronics. I'd be happy recommending anything by these guys, but Opus Magnum is definitely the easiest to pick up for newcomers. For those unfamiliar, Zachtronics make open-ended puzzle games (they also make visual novels, strategy games, and other stuff, but their main wheelhouse is puzzle games), where the objective is to build a machine (either physical or abstract) that accomplishes some task. You are generally given a lot of freedom in how to go about it, and the fun comes in finding creative ways to solve hard problems. Once you've found a solution, it's definitively Yours, because it's unlikely that two people will solve most of the harder puzzles in the exact same way. At the same time, if you want them to be, the games are excellent for competitive play: Every solution is graded on three different axes, and you get to see how you stack up both against a global histogram and on a leaderboard against your friends. You can try to beat the average, or beat your friend, in whatever category you find most fun. Or not. It's all up to you. Most of the later games also include some form of solitaire (probably because Zach felt like it), which can be a nice break from the puzzles. Just be careful, because if you like Zachtronics games too much, it's possible you're a latent engineer or programmer. Contact your nearest doctor before you start accidentally learning Javascript or something.
I don't know how I feel about calling Mini Metro a puzzle game. But I guess it's an apt description. Mini Metro tasks you with building a subway system in real time, rapidly adding and redesigning and rebuilding as new stops are added and traffic piles up. If too many passengers are waiting at a station for too long, and thus are under-serviced, you lose. It's a puzzle game in the same way Tetris is a puzzle game, and like Tetris, you can basically play it for as long as you want, whether that's five minutes or five hours. And it's $5. How about that?

Platformers:

I already talked about how Sonic Mania is a beautiful sonic game that was designed entirely by fans and did what Sega couldn't. And it's great. And it's fun. And it's very, very cheap right now. Get on that.
What can I say that hasn't been said about Psychonauts? Psychonauts is one of the best and brightest games of the PS2 era. It's a smart, funny, imaginative 3D platformer built by the same thoroughly twisted minds behind Day of the Tentacle and Grim Fandango. And while it's not the most mechanically solid platformer of the time (not even close), it more than makes up for it in sheer charm and personality and also in being available to buy on Steam for $2.50 right now. I am the Milkman. My Milk is delicious.
$20 might seem a bit steep for a game on sale, but Shovel Knight: Treasure Trove isn't a game, and it's not just a NES nostalgia trip either. It's three different platformers with different protagonists (all of which play very well in their own way), stories, controls, and remixed levels, a smash-esque battle mode where you can play all the characters, a single-player collectable card game, an astonishingly good soundtrack, and a whole ton of extras, including a co-op mode. And while we're talking about nice-to-haves, this game also has Body Swap mode, which lets you change the gender of any character in the game (with a different sprite to match) as well as their pronouns.Yes, that's right. Every. Character. There is no limit to the amount of gay. And if $20 is too much for you, you can also buy the single campaigns for the individual characters that interest you, which are substantially cheaper.
If your nostalgia leans more in the 3D Mario game direction, check out A Hat In Time, which is somewhere between Super Mario Sunshine and Paper Mario in tone and world, and very much plays like a Mario game in terms of platforming. This game is... very charming. It's also insane. The second chapter starts with a stealth mission where you infiltrate a film studio run by owls. Yes, really. It's great.
Cave Story. Cave Story + is $10, but the original, non-plus version is free online. Either way... well, it's Cave Story. It was good sixteen years ago. It's still good. Also check out Kero Blaster. It's by the same guy.

Party Games:

The most bang for buck in terms of Party Games is still Among us or Jackbox. But everyone knows about both of those already, so let's talk about Monster Prom. Monster Prom is an up-to-four-player multiplayer dating sim full of irreverent humor that is trivial to play over Zoom or Discord. It's a heck of a lot of fun, and can lead to straight-up laugh-out-loud moments. It's also... extremely not safe for children. Or work. But wow is it funny.
If you and your friends want to get into something a little more serious, pick up a copy of Worms Armageddon. To my mind, Worms is the definitive Artillery Game (Scorched Earth, Gorillas, Shellshock, all those games), and Worms Armageddon, still being updated (by fans, with Team17's blessing) 21 years later, is the best of the lot. Steam's Remote Play Together works wonders for this, if you don't want to mess with forwarding ports and all that. And since it's old, it's about $3. For infinite fun, I'll say take it.

Misc:

People have already recommended Hades. That game is excellent. Go buy it. Also pick up literally everything else Supergiant had made. Bastion, Transistor, Hades, and Pyre are all worth your time, and they're really, really really good. They have beautiful art, play well, and have great stories. It's kinda Supergiant's trademark. Unlike Hades, they're not roguelikes, but whether that's a plus or minus varies by person.
I'd like to take a moment to talk up a game by... okay not really a friend of mine? more like an acquaintance. Delver is a first-person action RPG roguelite. And it's cheap. And it's... pretty good. Nuff said.
FTL is $2.50. But you already own it, don't you? :-P
A Case of Distrust is a quirky, film-noire sort of adventure/visual novel with puzzle elements. A little like Phoenix Wright except nothing like that. If any of that got your attention, check it out.
To The Moon is one of the most emotion-evoking videogames I've ever played. There's barely any gameplay, but... well. You have to play it to understand. And that song.
The Outer Wilds is my game of the year. I already mentioned it.
Killer 7 is the most absolutely and completely insane game you will play this year. It came out in 2005. That doesn't make that sentence less true. It's a game about playing seven different assasssins, all of whom are actually different personalities of the same assassin, under contract from the US government to take out a religious cult of giggling naked invisible suicide bombers who are somehow connected to a Japanese plot to prevent world peace. And somehow by the end that won't even be the weird part.
Katamari Damacy Reroll is a remaster of Katamari Damacy, one of the most original and inventive games ever made. This is a game about rolling up all the stuff on the earth into a big ball to turn into a star because your dad destroyed all the stars in the sky. It's charming, darkly comedic, overtly bizarre, and as a soundtrack as good as Jet Set Radio and Tony Hawk. Yeah, I went there.

FIGHTING GAMES:

These are what I actually spent my money on. But it's a niche thing. So... y'know. I put it at the bottom.

The story of Skullgirls is completely insane. This is a game born out of love, and a game that has defied the odds to even exist, never mind exist as the beautiful, fully-realized game that it is. Unfortunately, Skullgirls looks like it will forever be overshadowed by the actions of Mike Z, one of the project leads, against whom allegations of sexual misconduct were released this year. By all accounts, this is ugly stuff. Rest assured: if you buy Skullgirls, Mike won't be receiving a cent of the money. The publisher has severed ties with him, and the vast majority of the people who worked on the game have left and founded a new company (who may be doing further development on it in the future). Having said all of that, Skullgirls is good. It's... really, really good. There is a reason this game has had a cult following for years, and everything from the artstyle to the gameplay is excellent. Downright outstanding.
Ahh... Guilty Gear. Guilty Gear pioneered the Anime Fighter genre. It's crazy, it's very, very absurd, there's a lot of midair punchups, and even a dummy like me can rack up a combo because combos (at least, small ones) are easy to get. Guilty Gear Xrd -Revelator- is pretty cheap right now, but let me instead recommend Guilty Gear XX Accent Core Plus R. It's older, it's more complicated in some ways... so why am I recommending it? Because by all odds, you can be with your friends right now. And GGXXAC+R has just released a beta that integrates full rollback netcode. For those not in the know, this means that if you pick up AC+R you'll be getting the best possible experience playing online with your friends. And since fighting games are a heavily multiplayer-focused genre, that's a big deal. Also, it's... really, really cheap. As in, it's $3.
Of course, I'm really more of a Street Fighter guy myself. Unfortunately, there are no Street Fighter games on Steam that I can wholeheartedly recommend. Street Fighter IV is... fine, and Street Fighter V is... fine, but the 30th Anniversary Collection, which houses Alpha 3 and my beloved Third Strike, has poor emulation, poor online multiplayer, and just isn't great. You're literally better off pirating those old games, or sticking the official ROMs buried in this rerelease into your own emulator. You'll actually get better online through something like Fightcade than through this. And while Marvel Vs. Capcom 3 is pretty sweet, it's not the same. Therefore, I must turn to Capcom's erstwhile rivals, who really brought their A game on this one: Yeah, that's right, it's SNK. Garou: Mark of the Wolves and both of the Last Blade games released for $5 a pop, and with full rollback for online, there's really no better way to get your hands on these games, which were tragically overlooked in their heyday, and are both really good, really satisfying, really stylish fighters. Garou, in particular, is often seen as SNK's answer to 3rd Strike. And while it might not be that good, any fighting game that gets its name dropped in like that has got to be good.
Tekken 7 is the 500-pound gorilla of 3D fighters right now, but I'm going to suggest that you pick up SoulCalibur 6 instead. For one thing, if you're taking advice from me, you're probably not so experienced in fighting games, and Tekken is famously insane. For another, SoulCalibur 6 lets you play as Geralt of Rivia. I mean, come on.

Right. I hope there was something for everyone there.