Don't know about must haves, but here are some of my favorites:
http://store.steampowered.com/app/8930 (Civilization V, latest iteration of one of the most brilliant game ideas ever)
http://store.steampowered.com/app/32360 (The Secret of Monkey Island, even today MI is still the best and most funny adventure IP ever)
http://store.steampowered.com/app/20920/ (The Witcher 2, great western action RPG)
http://store.steampowered.com/app/206440 (To the Moon, visual novel which will bring you to tears)
http://store.steampowered.com/app/212680 (FTL: Faster Than Light, great indie real time strategy/roguelike game)
http://store.steampowered.com/app/12900 (AudioSurf, brilliant music game which is played with the music tracks on your PC)
http://store.steampowered.com/app/207690 (Botanicula, very charming and unique adventure game without any spoken or written language)
http://store.steampowered.com/app/48240 (Anno 2070, arguably the best economic/building sim currently available)
http://store.steampowered.com/app/215160 (The Book of Unwritten Tales, one of the best "modern" adventure games)
http://store.steampowered.com/app/209950/ (Triple Town, charming puzzle game)
http://store.steampowered.com/app/38600 (Fairie Solitaire, good solitaire game)
Plus: http://store.steampowered.com/search/?snr=1_5_9__12&term=ys
(I haven't played Ys games on PC yet - I played them on PSP - but this classic series is always recommendable for JRPG fans)
Add VGC members to your Steam friend list and you can see what we own and play. I'm okr on Steam as well.
