One word of advice: The original music is better than the new remixed music. You can switch it to the original music in the Options.
I tried out Cave Story, and I hated it. If the game gets good, it certainly wasn’t in the beginning. You just run around talking to stupid NPCs and there isn’t much action at all. It plays like a Commodore 64 game (normally, that would be good but not in 2011 or the last five years).
There is a reason why this game cannot get out of its niche.