Cave Story+ (Best version): On Wii U eShop (discontinued purchase, but redownloadable if owned), Steam, Switch, PS4, 3DS. Updated graphics, new music, extra modes (Boss Rush, Curly Story).
Original Cave Story (Freeware): Free on PC (PixTone site), plus ports to Mac, Linux, PSP, DS, 3DS, Switch (via homebrew).
Nicalis ports:Cave Story 3D (3DS), Cave Story+ (Switch/PS4).
The demo is just a taste. The full game is a masterpiece of indie design—play it properly.