One of my favorite so far is the unofficial Cave Story sequel, only with new maps, new story, but the same chars.
And it's like 3 times hardr than the original Cave Story.
There's also The Mimiga Army, where you're a Mimiga working on the plantations, and you are sent on Earth for some reason I don't want to spoil.
For the WIP mods there are King: Strife and Sacrifice, a very cool mod where you're King and you're playing when all of the Mimigas are being killed by the Doctor, this mod use a lot of Hex Edit and thus, have new weapons. (Plus it use the "Wii patch" so you have graphics like the one from the Wii version.)
Another of my favorites but still a WIP is WTF Story, the most random mod you'll ever play, you don't know who you are, where you are, and what you're supposed to do, but you still fight bosses like a Killer Tetris or the Robot Balrog Bros.Cave Story: A Lost Land
(unofficial sequel)http://cavestory.org/forums/showthread.php?t=3508The Mimiga Army:http://cavestory.org/forums/showthread.php?t=3651King: Strife and Sacrifice
(Mac version disponible !)http://cavestory.org/forums/showthread.php?t=3123WTF Story
Thanks, and have fun. -Gaben