I've played Cave Story and I really like it. The best way to describe it's gameplay would be sorta like a mix of Megaman and a 2D platformer. It allows you to have a lot of (awesome) weapons that can be powered up by collecting what enemies drop. It has nice graphics, smooth gameplay, a good story, and lots of explosions.

You can find out more about it and download it here:
http://www.cavestory.org/