Muspelheim said:
Dwarf Fortress. It's free, DRM-free and fantastic.
http://www.bay12games.com/dwarves/features.html
It's a very different experience from most games. It's got an insane difficulty cruve, but it's certainly a challenge. How awesome is it? Very awesome.
Exactly how awesome? Let the legends of Boatmurdered testify to that.
http://lparchive.org/Dwarf-Fortress-Boatmurdered/Introduction/
Oh god...
Boatmurdered...
Absolutely hilarious, especially at the end.
But listen to this guy. Dwarf Fortress is fun. Getting into it is like walking into a wall, but there are tutorials out there that will level the wall so you can just walk on in.
Although, not 1 person I know has actually lived on their first playthrough. Most died due to dehydration. One guy made it to a goblin raid, and one guy made the mistake of embarking in a savage Biome, where giant Panda's tore his Dwarfs to shreds. Be careful, and if you ever get bored - lose. Losing is fun [Especially when it involves the Circus].