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 Cave Story fully translated, guides, useful programs and much more!) Still no Mac installer though.
Deluxe Package Contents
Keep in mind that Cave Story Deluxe adds nothing new to Cave Story that wasn't already present. It just houses a bunch of extra stuff under one installer. For Mac and Linux users that can't use the installer individual downloads of the package contents are listed below.
Various Cave Story Ports
To play these in English you will need the English translation patches listed below.
These need to be applied to the relevant main download listed above.
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.