I voted that it's a factor, but I do tend to play indie games a lot more, simply because the games are often less mainstream, more creative, and it feels good to support a small company rather then, say, EA Games (Bleh!).
Plus, indie companies are more likely to have freeware/shareware titles, or cater to niche markets, like political simulations, or drama/interactive novel/artistic.
Some indie games are fantastic, but Beta made the best point, they often do not have the adequate funding to equal the potential a major corporation could meet. I'll always give the game a go (by the means of a demo, or a friend already having the game, Youtube videos at a last resort) no matter who develops it though.
It's the same with music. I prefer to support the ones who need it most. Whether the game was great or not, I'd rather give my money to the guys who have less and rely on it more.