This topic originated from a discussion about price points in games. However, due to the very helpfull and sometimes very emotional replies of some users, It became a help desk for all indie game developers that want to publish their games themselfs.

Error014 for example provided a very nice list of things one should check:
1) Are you running ads?
2) Are you sure you provided the necessary amount of PR? Posting trailers on YouTube is NOT enough. Sending press releases to many, many outlets would be a start. There are services for that, if you don't want to do it yourself.
I don't know your current sales, but I'm sure you'd see a nice spike if you get a favorably (maybe even bad or awful) review from bigger sites.
3) Have you made sure your website makes it easy and clear how to buy? Not for someone like you looking at it everyday, but for someone who's never been there before and is not web-savvy?
4) Are you closely analyzing your website-traffic and stats?
5) Are you providing Demos for your games?

Those a re a few things to consider. He also was kind enough to link us to this BLOG with alot of REALLY good information. Like those four links:
Indie Games pricing Issues
The wild economics of selling online
Two web sales mistakes you could be making right now
Let's kill the cheap and begging myth right now

Also, JibbSmart added three very useful links for self publishers.
GamePress Press releases - Create your own press release
Rock, Paper, Shotgun - Getting your game pre/reviewed
The Indie Database

Furhtermore, you can find some very helpfull and some not that much helpful tipps and opinions in the replies laugh