There isn't any cave story 2 to speak of, although there are rumours including some folder named 'cave story 2' at PAX South in april.
The PAX South thing was a joke though. The folders were named after sequel name parodies of Nicalis published titles.
There's always ZarroTsu's "Jenka's Nightmare" remake. If you want a Cave Story 2, that may be the closest you'll ever get to one.