Uh, there are so many...
But all of them I bought directly. And I still would want to play them, but missing the time right now.
Let's see.
Dungeon Siege 3 - Probably will play it when I finished the 2nd one, which I started, but it wasn't that much fun
Elder Scrolls 3 / 4 (I played Oblivion when it came out many years ago, not on Steam)
Gothic 1/2/3 - Played the first when it came out, also not on Steam
Risen
Kotor 1/2 - Played the first when it came out, also not on Steam
Two Worlds 2
Vampire: The Masquerade - Bloodlines
Civ 3 complete
Civ 4 (+ Beyond the Sword, Colonization, Warlords)
Bioshock 1/2
Empire: Total War
The Secret of Monkey Island: Special Edition
Monkey Island 2: Special Edition
Thief Gold / Thief 2 / Thief: Deadly Shadows
X-Com: Enemy Unknown
SimCity 4 - Played through the tutorials, began my own city, then the game crashed, and I didn't touch it ever since.