How do you change the font in cave story?
The font is stored in "Config.dat".
The quickest way to change the font is to directly open up Config.dat in a hex editor, and change "Courier New" to whatever font you want. Some fonts seem to work, and others don't seem to work for me, for reasons I don't fully understand. Might have to do with my local system settings and what fonts are embedded in my OS. "Arial" and "Papyrus" are working fine for me, but for some reason, "Comic Sans" doesn't seem to work. If you want a quicker solution, you can use
FontConfigEdit, by Mint. Just place the exe in the same folder as your Cave Story game, run it, and type in the name of the font you want to use.
Ultimately, the best solution is to change the font in DouConfig.exe. The reason for this is that every time you click "OK" in DouConfig, it regenerates the "Config.dat" file, and by default it's only going to set the font to Courier New. So for a better solution, open up DouConfig with a hex editor, and change "Courier New" to your desired font at offset 0xBCE0. This will make it always save the settings with your desired font.
Another thing I should note is that even if you get the custom font showing up, it might look a little wonky. The Cave Story typer was originally designed for a font more like Courier New, so anything with characters that look much different in shape may be warped. Papyrus, for example, looks pretty bad in the game, even though it technically works.