Its been one of my favorite games for a long-long time now, second only to the otherwise incomparable Super Mario Bros. 3 in my book. I've had great fun running/jumping around, shooting things, building an arsenal and exploring the island.
I like the story that it has to tell. I do find that the basic plot is a tad bit generic in concept but the execution is very good and world's so richly detailed for a video game of its size. I can't really think of all that many holes or oversights concerning the in-game sequence of events. I remember one time I noted one of the little roach guys (Gaudis, I think?) said I smelled like a Mimiga, so I replayed the whole game just so I could get to that spot with the Mimiga Mask to see if anything happened and it did! The change in dialog wasn't all that much, as the dude didn't think it was so funny but it was a nice acknowledgement of a curious player's mindset that many commercially oriented games would've overlooked. So cool. I don't know if I'd ever give the thing up again, if you didn't need the Booster to access a very particular place.
The cast is wonderful too and shows to me a very wide array of intriguing personalities like the pessimistic Misery, the survivalist Sakamotos, the quite highly energetic enthusiastic Balrog and Curly brace, the shrewd yet noble King, the feable and not so plot-vital Santa, the introverted/lonely Malcom and so on. I'd say it's a very key feature of the game's enjoyability..
I may be a bit biased when I say the graphics look stunning, as I have a slightly uncommon slant for a game player, towards preferring pixel art but I must say, the sprites and backgrounds are truly awesome.
The most amazing thing though, it's all the work of one highly skilled and multitalented man working at something with great joy and dedication for a very, very long time. Just for the sake of doing it! I really could hardly believe it the first time I read that. I think the level of quality it achieves from this seems rather uniquely coherent and I believe there'll never be anything quite like this again. Unless that is, Zun suddenly decides to put the release of his next game on a five year Hiatus to make a completely killer installment of the Touhou series. I kinda doubt that'll happen though.
Also, so long as I'm thinking about it, what is it about these guys who like to make themselves sound like an entire development team? StudioPixel and Team Shanghai Alice? Perhaps they're really the same person?! I wouldn't really be surprised. I mean, just take a look at
Balfrog and
Suwako! Okay, it's probably just a reference. Probably anyway... Dun, dun, dun!

On an almost entirely unrelated tangent, I'd like to say I thought it was rather cool when I first joined this community when I noted that two people were using Cave Story sprites as avatars. One person, who's name I forgot was using The Doctor and another, Drake I think, was using Quote. It's so very hard to find fellow Cave Story fans and despite my enthusiasm, I've had very little success in converting them myself. You'd think it'd be easier to get people to try a small little 10 megabyte free game.
P.S. Yeah I know, Balfrog is supposed to be a very specific form of Balrog, as opposed to his normal state, but I really couldn't think of a more consise way to make the complete comparison. Also, I hope that R51 doesn't mind that I stole his avatar to show that! XD... I kinda doubt it.