I wrote a post. It was about increasing prices and decreasing points values and the two-way gouge perpetrated by miniature wargame companies. It wasn't bad. I'm just sick to the back teeth of doing nothing but advise people on how to negotiate with these big bad corporate entities, how to play the popular games without being played for fools. It's possible to play that game and win, but a better way to win is to not play. With that in mind, here are some of the free or cheap things I've been painstakingly hoarding, in waiting for the day when I can persuade people to play them and not something you buy in the shops.
This is why I'm also going to recommend Hordes of the Things, by the Wargames Research Group. It's currently out of print (I bought one of the last paper copies, it would seem) but the WRG have been good enough to provide a download of the current edition as a stop-gap until they can bring it out again (and thanks to arabianknight for pointing that out!). Hordes of the Things is another very tight rules set with the advantage of working in a variety of different scales - the measurement distances and number of models that qualify as a 'unit' changes, but the actual mechanics don't. Both games use generic unit types that are wide open to choice regarding which manufacturer's miniatures you use, and both have a historical variant (Hordes of the Things is in essence a clone of major historical system De Bellis Antiquitatis, also by the W.R.G., with rules for dragons, gods and magicians bolted on) if that's more your bag than outrageous fantasy.
On the skirmish side of things, allow me to big up Dave King's Skulldred. Skulldred is currently in beta testing and has been for some time, largely because Dave wants it pretty much as tight as he can make it when it does finally go to a commercial release. At the moment, it's free to download, and has the advantage of being open to use any set of miniatures in the same scale (although, as is my way, I recommend 28-32mm for anything where individuals matter and 10-15mm for anything that's more about regiments). You'll need to perform some jiggery-pokery with dice, either using the wraparound template Dave provides or investing in some blank d6s to make your own. Or you could use a look-up table, but that'll get a bit wearisome if you have to do it for every roll.
Swords and Wizardry is a free-to-download open-source 'retro-clone' of several early editions of Dungeons and Dragons rolled together (I confess to not being up on the game's early history to the point where I can tell you what's been rolled into it; furthermore, I confess to not caring). The point is that it can do pretty much whatever you want to do with Dungeons and Dragons - scale up, scale down, convert settings, make your own setting, imitate Basic, Advanced or Old Dungeons and Dragons - and it doesn't cost anything or come with the promise of splatbooks ranging out into infinity.
If you find Marxist taxonomies of characters and rolling tons of dice to be faintly distasteful, meanwhile, allow me to point you in the vague direction of Atomic Sock Monkey Press and their excellent free-to-download Prose Descriptive Quality system for diceless roleplaying. They also make a few settings for that system to be used in which, while technically costing money, come with enough free downloads for you to bodge your way through it with a bit of imagination (and let's face it, you'd need at least a bit of imagination to play a diceless RPG).
Battle for Wesnoth! It's free, it'll run on damn near anything, and it's a charmingly addictive hex-based turn-based fantasy strategy game. I recommend Wesnoth doubly because of an active user base that's forever churning out new single-player campaigns and offering multiplayer if that's your thing. The only bad thing I have to say about it is that large battles with three or more computer players get pretty boring; you can skip the computer players' turns but then you'll start yours with half your units missing and no idea what killed them or what to avoid when you save and reload - which you'll be doing a lot, since the AI is intelligent enough to go after things that you don't want to die and very, very cut-throat in its application of attack probabilities.
Torchlight is in essence a Diablo clone. You remember Diablo. It was a one-armed bandit thinly disguised as a fantasy dungeon crawl game where you hit monsters to see what loot fell out of them. It was single player World of Warcraft, in essence, and it was mindlessly addictive. Torchlight did not set my world on fire, but the demo's free, the game's cheap, and it even looks suitably old-school. I've just been spoiled for single-player games by the chat-to-other-players aspects of MUMORPEGGERS, I think.
Guild Wars is one of those MUMMORPEGGER things, only it isn't subscription-based: you buy it, you play it, and the only money you need to spend is on expansion packs if you want to play through those. Looks like World of Warcraft with more sophisticated graphics and less bad pop-culture jokes. The former stopped me from really getting into it, as there was enough lag to break any sense of immersion or engagement before it really had the chance to develop, and I get the impression that it's a slow-burner anyway. Not designed to addict with quite the same cunning and effectiveness as World of Warcraft - definitely more of a make-your-own-fun kind of game that relies on you interacting with other players in some meaningful way, but that's not necessarily a bad thing. Champions Online is closer to WoW in terms of its early-game-hook design, although operating in a different genre, and is nominally free to play, although the free version is so cut-down that you'll probably end up spending some real money to unlock some options for yourself. Still no subscription fees, though.
Given my druthers, I would play all of these and not their more expensive counterparts, but the trouble with games and gamers is that they are in essence social pastimes and if you want to share other people's play time you often end up playing what they play. I can sit up here in my Frugal castle with my sense of self-satsifaction and full wallet but that's piss all use if everyone I know wants to play Pathfinder. That said, I still want to fly the flag for alternative games; they are cheaper than what people already play, they are often more flexible and freeform and imaginative than what people already play, and they are probably every bit as much fun as what people already play. I'd know, if I could persuade people to play them.