So, so many. You're going to have to narrow it down a bit. Vagante is a great challenging roguelike platformer that's equal parts Spelunky and Dark Souls. There are recommendations for Factorio and Civilization here, which I wholeheartedly endorse. Mercenary Kings has minimal act break cut-scenes that are pretty short, but the gameplay loop is Mega Man crossed with Monster Hunter, and it works really well. Streets of Rogue is a highly systemic roguelike that really lets you go nuts with the sandbox, and it's got a great sense of humor at that.

As a bonus, all of those games are also fantastic to play co-op.