Download Cave Story
Cave Story (Japanese)
To play this in English you will need this and the English translation patch listed below.
Cave Story Deluxe Package (Updated)
(contains PC & MAC versions fully translated, guides, useful programs and much more!) Still no Mac installer though.
Various Cave Story Ports
Cave Story X by Xport
(Links to a page giving instructions on how to download this Cave Story port using mIRC, no direct link sorry)
Note: Some users report slower gameplay/lag.
Note: More of its own game than a port due to incredible limitations.