Japanese visual novels that never get translated are a big one. A huge chunk of them live on novelgame, DLSite, and DMM. In fact, there are some full fledged Japanese games that are DLSite exclusive. I’ve tried a few, and some can be quite good.

The Star Trek games on GOG (like Elite Force I and II, and Armada) are worth your attention.

Full Metal Daemon Muramasa is also typically bought on JAST.

There are also a bunch of gacha games that never released on Steam, though the bigger ones are working to change that.