The Polar Star Permanent Trade Stalemate (Read this if your new to the game)
I enjoyed this game very much up until the point that I got to the first "boss" in Sand Zone. After you beat her you have the option to trade in your weapon for her's (a machine gun with regenerating ammo).
I made the trade, not knowing that it was irreversable. I regretted doing the trade and I missed my cherished Polar Star!
I made my way to the Cave Story txt walkthrough here: http://www.cavestory.org/guides/CaveStoryFAQ.txt
It was there that I found out that there would be 3 other opportunities to trade in your Polar Star gun for a different one. The guide even states: "Personally, I'm not a huge fan of the Machine Gun so I would recommend keeping your Polar Star for now, but it's your choice." Since there is no alternate save option in the game (or save states :P), I was forced to restart to the beginning to keep my Polar Star.
The machine gun is fine, but already I'm frustrated with it as it has regenerating ammo. If you hold the button down, you're going to run out.
If your interested in the different weapon choices, the guide linked above has a weapons section giving a description of each weapon.
Anyway...learn from my mistake and weigh your options before you do this trade. That ole Pea Shooter is definitely the most practical gun I've seen in the game so far.
The game as a whole is wonderful. I love it's SNES style graphics, reminiscent of Metroid, Mega Man, even some Kirby.
Edit: The new file I started is on Normal difficulty and I have to say...boss battles are way more difficult. It's a lot more fun and there's more risk (ie. your weapons downlevel faster when taking dmg, and it takes more to level up). Definitely a worthy challenge.