no, i suppose they don't have to be! it's just preferable i guess, and more easy in the long run! i know lone survivor, to the moon, the binding of isaac and hatoful boyfriend are all really fun indie games that do happen to cost money.
space funeral's game soundtrack is definitely one of my favorites!! i especially like the part in the blood cavern where the woman just starts talking (although that doesn't really count as a song i suppose)
also, i haven't played cave story yet, but i've heard a lot of good things about it! o: