Indie games, huh?
I just beat Yume Nikki
yesterday, and it's a great game. Do not play at night though.
You are a little girl called Madotsuki, and you have to explore your dreams to collect 24 Effects. The effects are sometimes hidden in very unlikely places, so you might need to use a walkthrough to find some of them. There's also lots of other stuff that you can run into that's strange, creepy or bizarre.
Oh, and there is one scene in the game that is completely positive, with nothing weird or scary. One scene. And it's rather hard to find.
Remus: Harry... I'm a werewolf.
Harry: Are you fucking serious?
Remus: Well yes, but I don't see how that applies here.