In a 2010 Destructoid interview, Daisuke Amaya said he was happy with question from fans about a sequel, but he also said creating a game that surpasses Cave Story may be impossible, with the slow progress of his RPG project.
There's also the midi versions [dead link] of all the songs in the Wii version. YMMV on whether they sound better than the final instrumented versions, but according to the composer for the remixes, the final versions sound little like he intended. Also includes some tracks that didn't make it to the final version, such as a version of "Plantation" that uses the main theme in a style more similar to "Plant".
No Export for You: The Wii Ware version of the game has yet to see a release in Japan, which is ironic since that's where the game was made. However, it has seen a European release.