(Hell) Time Attack is the only unlockable I've come across.
Honestly, I think that's it.
As for the whole "Prinny Cameo", there is a Prinny mask that can be obtained late in the game (read: after the outer wall).
But I know that Cave Story+ (on Mac store/Steam) has an unlockable Wind Fortress level after completing the game. It has also been announced that certain Cave Story mods created by fans will be green lit by Tyrone and/or Pixel and used in future updates for the game