I know this topic is about a year old, but I can't help but throw in a recommendation.
The original PC version, which uses the Aeon Genesis translation, is the best choice. It runs at a slightly lower framerate than the Nicalis release on Steam, but it's the raw game as Pixel envisioned it. Plus, it's free.
The Nicalis version on Steam (Cave Story+) is a good choice, but I recommend placing the Aeon Genesis translation in. (The game is mod friendly, so it's relatively easy to add.)
Based on the link
@RedColoredStars posted, the Switch version seems to have the most bells and whistles, but I'm a purist, so i tend not to get hung up on extras.
I've never played Cave Story 3D, but the visuals and music make it distinctly different from the other versions. If you were truly curious, I'd say play through the original first before trying 3D.