Alternative shops

There are lots of great alternative shops. My current favourite is GOG.com. They sell DRM-free PC classics for low prices ($6 and $10) with no regional discrimination. They have a huge catalogue of good old games from every genre and publish at least two more every week.

Many of the indie games available at Steam can also be purchased from indie publisher greenhouse. This download store is a owned by Penny Arcade and Hothead Games. They don't use regional pricing, and their prices are generally equal to those in Steam's North American store - which means that they're much cheaper than Steam for European customers. They even have their own achievements system called "Triumphs and standings" if you're into that sort of thing.

If you're interested in games that are more mainstream, check Steamunpowered's list of alternative shops that don't use regional restrictions.

Buy directly from the developers

Many games can also be purchased directly from the developers, most at much lower prices than Steam's European store. This is not a comprehensive list, these are examples only:

• On the Rain-Slick Precipice of Darkness episodes one and two
• Tales of Monkey Island, Sam & Max, Bone, Wallace & Gromit, Strong Bad's Cool Game for Attractive People and other titles from Telltale Games.
• World of Goo
• Crayon Physics Deluxe
• Time Gentlemen, Please! and Ben There, Dan That!
• Aquaria
• Fatale, The Path, The Graveyard
• Machinarium (includes MP3 soundtrack)

I highly recommend checking the developer's website when you buy independent games like these. Not only do you get lower prices, but you also ensure that a bigger share of the money you pay goes straight to the developer. Win-win!