Seriously, Blair Witch Project. According to AMC's Movies that Shook the World, it's still the most highly grossing indie film ever made, even after it was exposed. Made each of them millions, several 1,000s of % profit.
And it's pretty much a pure example of what indie work can produce. It turns many concepts upside down and it worked, for many, to make an interesting film. (Shaky camera work, a let down ending and the fact everyone felt like they were hoaxed aside.) It started doing reality TV things before reality TV even knew what it was. (Like not directing people and letting them act naturally, only giving them vague cues to work on.)
It was handled almost totally in-house, and only after they knew they were hitting it big did they seek some industry help to promote it. It PROVED you don't need a huge budget to turn a huge profit, or do something meaningful.
But rather than gamble on that, industry giants prefer to gamble that the same format that worked last year will work better than it did before, because if it doesn't post a higher profit than the last, it's a failure in the eyes of the AAA industry.
And before we get too off track...XBLA. That also shows there's a working, profitable model for indie games of a smaller scope that still turn a high enough profit in volume to make it worth the time. They may be smaller games, and not these sweeping epic masturbatory fantasies we get now, but at least they're constantly injecting new ideas into the industry.
And did any of you actually enjoy Avatar as a mind-blowing movie experience, where you thought "man, the visuals alone made this worth my $?"