Cave Story, AKA, Doukutsu Monogatari, is a truly excellent MetroidVania Styled 
Game created by Daisuke Amaya, and released in 2004 as a freeware game.

Here are 2 amazing clone/ports of it.  

https://github.com/andwn/cave-story-md/releases 

doukutsu-ntsc-v0.4.0.zip is the excellent port that runs
on _km PicoDrive, Notaz did a phenomenal job Updating
PicoDrive to handle the port!  The port, itself, was done
with the amazing work and dedication of andwn!

The 2nd port runs via _km NXEngine  This truly great Engine
was done by Caitlin Shaw

http://nxengine.sourceforge.net/

The great people at libretro ported this over.  I thank
fetzerch, bparker06, twinaphex, yoshisuga, fr500, RobLoach,
andwn, PokeEngineer, aliaspider, vanfanel, and all else who
take precious time out of their days and nights to do bring
such greatness to us all!

Anyone else involved in ANY of this, that I did not mention...
I thank you, personally!

I am distributing these under fair use, without intention of
profit, on the basis of the original code being free of mods
other than the Eng Translation patch that the great group
Aeon Genesis put together!  And, for all intents and purposes,
it is freeware.  Those of you who love this game, be sure to 
check out and buy one of its more recent incarnations!  If
anyone has issue with said distribution, Open up an Issue on
my Github, and I will remove the content.  Thank You!

http://cavestory.wikia.com/wiki/Version_differences

To install Cave Story (En) for _km NXEngine, 

1.  Extract Cave Story (En)

2.  Add Doukutsu.exe via Hakchi2, as the main file

3.  Command line /bin/nxengine

4.  Copy the REST of the files into the same directory

5.  Enjoy the Awesomeness!

To install Cave Story for MD (MegaDrive/Sega Genesis),

1.  Install _km Pico Drive

2.  Add doukutsu-ntsc-v0.4.0.zip via Hakchi2

3.  Command line /bin/32x

4.  Enjoy the Awesomeness!