Consider this situation. You have a game, but you don't have any publishing or distribution channels for it. You have decided to sell your game over the internet. Now, you need to determine your strategy for doing this. Do you sell straight off your website, go to a bittorrent host, or do you have a middleman sell for you? And if that's the case, who? Would you have IGN's Direct2Drive retail your game, or perhaps a competitor? While it'll be a good long time before Meldstar Entertainment has a game up for sale (as so far it's been decided that we will be giving Asylum away for free) it never hurts to get planning on business issues like this. And even though Asylum won't cost anything, this information could help decide how we'll distribute it. Discuss your sales plans for your own projects.

I've been away for too long to dare tackle most of that, but it should go without saying that selling through your own site will not be profitable unless you can get a lot of traffic there. Normally this means hard currency, but dedicating yourselves to various forms of free publicity (including previews/reviews in places that actually get seen) certainly shouldn't hurt...

Depending on the game, there's stuff like RealArcade.

A lot of indie developers put their games up on their own websites. There are both upsides and downsides to that. You have complete control over how much you sell and you don't have to pay commission and other fees to distributors.

On the other hand you have to set up a credit card gateway, PayPal, an online store and if you have to ship the game you have to do that too. All of that is time consuming and you might end up running a mail-order/ecommerce business instead of developing games. You also have to market the website with all costs and time involved there.

There are online distributors out there and you might want to select one. But putting the game up at download sites such as download.com, tucows.com and so on might do much of the site and sales marketing job for you. Back in the days I distributed a shareware version of a game I developed through download.com and had my own payment gateways setup and it worked pretty well.