So I'm in the third dungeon. It's a great game, although the map is functionally useless. At the very least, it should show the location of caves and whether you've completed them or not. As it stands, half my playtime has been spent re-locating and completing caves or finding out that I've already completed them.
PROTIPS: You can burn wooden blockades with Shantae's fire attack. That may seem obvious, but just be aware of it. You'll also need Shantae's triple-fire upgrade and her Monkey Dash to get through another cave. The Monkey Dash and Elephant Stomp are needed to access the third dungeon. The elephant stomp can be used to destroy overhead stone blocks. I highly recommend saving up your Magic Jams to buy her fully upgraded hair whip.