One of the ways that small indie developers have used to great success to fund their games over the last few year is the "Paid Beta" (sometimes Alpha). You can buy a game early, and play it through all of the updates before the developers decide the game is finished (and, of course, you get a copy of the finished game). Minecraft is a great example of this. A couple games I own for paid beta are Spy Party and Prison Architect.
To that end, Steam has just announced the Steam Early Access program. This is basically a formalization of the paid alpha/beta program that can be accessed and managed via Steam. So you can buy a game before its out, Steam will manage downloading and updates for you, and you can give your feedback to the developers via whatever channels they have available.
This is a great way to support Indie developers and keep them alive so they can get their game out.