If you look in the Homebrew section of the forum, in the thread titled DOUKUTSU MONOGATARI ~~ Cave Story, Simon Parzer has put a link to his beta version port of the outstanding freeware game by Pixel. It's a great game and I'm really excited it's being ported to the gp2x - the beta is very playable!
My faves are Boomshine2x (clone of web flash game), Wind and Water (commercial demo) and Super Methane Brothers (port). SMB was recently recompiled with faster libraries. Good time to try it!
Edit: I am also currently enjoying RuckMan in Fruit Frenzy mode. Great fun.