If anything, Cave Story would make a better book or comic than an anime or movie. Repeated actions (weapon upgrades, boss fights, etc.) and exploration of a new area are usually only exciting when seen through the medium of a video game, or print. Movies can't handle all the content of a video game, no matter how concise or movie-like it may seem.
I guess the main problem is content density. For example, take the time between talking to Santa the first time and getting his key. In the game, that takes about a minute, and you head back to Santa for your reward. This would take roughly the same amount of time in a movie, but would be utterly boring to watch. A few seconds of walking, some shooting, picking up a key, giving it to some guy within the course of a minute is only acceptable in a game because you're controlling the character, and you're getting a reward. Who would want to see a man saving up for a thing he wants in real time?
However, if it were a book, you could make this simple task stretch over pages and pages, with descriptions of the scenery, Quote's thoughts, Santa's appearance and behavior, all the things that are conveyed in a split second in a game or a movie (which is why mangas are generally shorter than novels, or at least take less time to read). There's not enough movie-worthy stuff in Cave Story, and there really isn't any tv show-worthy stuff either.
Hell, I'd buy a Cave Story manga (but I'd probably prefer it as a Western Comic) any day.
