Baconrath
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I like Cave Story, but I'm really tired of finding out I could have passed on item x to get item y after the fact..
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To be perfectly honest the machine gun is probably your best bet for a first playthrough.
On subsequent playthroughs you'll know it's optional.
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You will never know about all the optional things without a guide, and you will never unlock the extras without all the secret things!
Use a guide on your second playthrough. It won't ruin it at all, that's what I did.
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I actually reached "Hell" on accident on my second playthrough just from exploring a lot. Parts of the secrets I had already seen on youtube but I had no idea about that level.
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