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Hero Siege is my favorite at the moment :) I play it on steam (PC)

The Long Dark
Steamworld Heist (or Steamworld Dig, they're both amazing)
Darkest Dungeon (though it's going retail in March)

I'd say Path of Exile, but since it's f2p, I doubt it could have a physical version. Anyway, you can play it on Windows (also on Steam) or on Xbox One (separate realms).

Therefore, for non-f2p games I would say... Slaps and Beans? :D
Available only on Steam at the moment (actually, there is a physical version, but hmm, 7000€?)