Cave Story is undoubtedly one of the best freeware games to ever grace the internet. Its complex story and old-school design mesh together to create a platform game of retail proportions.
You take the role of an unnamed protagonist who stumbles upon a village of Migima, which are rabbit-like creatures. An evil doctor is kidnapping the Migima from the village and performing horrible experiments on them.
Gameplay involves running around jumping from platforms and shooting enemies. The physics are slightly floaty, making the game feel slightly odd at first. It only takes a few minutes to get used to this, though, and it actually makes the platforming quite a bit easier. You have access to a wide array of weapons, from pistols to missile launchers to bouncing fireballs. Most weapons can be upgraded to three levels, each level more powerful than the last.
With great gameplay, a great story, good soundtrack, and a pleasing retro feel, Cave Story is unarguably one of the best freeware gems to ever hit the internet upside the head.