Cave Story is a medium-length game created by a single individual, "Daisuke 'Pixel' Amaya". One of the most astounding things about the game is that it was indeed created by only a single person. Nowadays, this kind of feature isn't as outstanding, but rewind a decade and it was Pixel who stood out for this statement.
For much more in-depth information regarding Cave Story, and exactly 'what it is', I invite you to visit the following link: http://www.cavestory.org/info_about.php
It is highly recommended that any aspiring players of Jenka's Nightmare play through the original Cave Story first. I cannot speak on behalf of people who have not played Cave Story, but I would imagine certain characters or situations being confusing without context.
Plus, come on, Cave Story is really damn good.