Team Fortress 2 - Did You Know Gaming? Feat. Markiplier
Portal - Did You Know Gaming? Feat. MatPat from Game Theory
In December of 2012, Chris Prynoski, founder of the American animation studio Titmouse, Inc., posted several hashtags on Twitter hinting at a collaboration with Valve before posting a picture of himself with Gabe Newell in Titmouse's offices. The collaboration was most commonly speculated to be a video game based off of the Titmouse-animated Cartoon Network series "Megas XLR". In August of 2015, Prynoski clarified that the collaboration was scrapped due to licensing problems.
Contributed by CLXcool
Some of the machines that create Valve's Steam Controller are branded with the Aperture Laboratories logo, the company featured in Portal.
Contributed by Liraxus
According to The Valve Employee Handbook, during Half-Life's development in 1996, there was another game being developed called Prospero. In 1997 the game was permanently cancelled.
Contributed by PoisonTardis
Along with "The Orange Box", a collection of five Valve games utilizing the Source engine, Valve was originally going to release "The Black Box", which would only contain the three previously unreleased games: Half-Life 2: Episode Two, Portal, and Team Fortress 2. The Orange Box also includes Half-Life 2 and Half-Life 2: Episode One, each of which had already been released individually.

Production of physical copies of The Black Box was cancelled, but the collection is still available for download through Steam, using a coupon found in an ATI bundle that included an ATI Radeon HD 2900 XT and a coupon for the Black Box.
Contributed by Spherix
Team Fortress, Day of Defeat, Counter-Strike and Ricochet were all originally fan-made mods.
Contributed by Zlew
The bald man with a red valve on the back of his head, often used during splash screens for Valve games, is somebody who "was literally pulled out of a coffee shop or book store".
Gabe Newell served as a producer for the first three versions of Windows (Windows 1.0, Windows 2.0 and Windows 2.1x) before going on and founding Valve.
Contributed by Rivalremi
Valve has a working sentry from Team Fortress 2 and a working turret from Portal in their lobby. Both were contributed by WETA Workshop.
Contributed by ORWELL6