Graham Barrow's team have lost just one of the last nine games and could easily have been challenging for the play-offs but for a mid-season slump.
However, there is optimism at Gigg Lane that the Shakers may be challenging for the top next season provided that they can keep hold of their promising young players.
Their best emerging new talent is Colin Kazim-Richards who scored a brilliant first-half goal.
Kazim-Richards is out of contract at the end of the season and there has been plenty of scouts monitoring his progress, as well as the likes of Simon Whaley and Thomas Kennedy.
"We may have passed the ball a bit better and enjoyed the game more in the second half," said Barrow.
"But we have got scouts coming from all over the place praising the team to the hilt so you can't criticise them too much.
"Hopefully we are going to keep most of them for next season. It is up in the air at the moment with young Colin, but we're doing everything we can."
Only one of the starting line-up has a deal for next season so Barrow obviously feels worried. He may lose a number of his leading stars.
Brian Barry-Murphy curled in a free-kick after just two minutes that gave Bury the lead and the Shakers went from strength to strength.
Kazim-Richards scored a stunning second with a rising right-foot effort in the 21st minute and set up Bury's third seven minutes from half-time.
His pass found Dwaine Mattis and although the midfielder's shot was well saved by Shane Higgs, Ricky Shakes was available to tap in the rebound.
Shakes, on loan from Bolton, squandered a great opportunity to score a second before half-time while Cheltenham had a good appeal for handball turned down by referee Alan Kaye.
Cheltenham improved in the second half, they couldn't have been any worse, but Bury had further opportunities through Barry-Murphy, Mattis and Dave Challinor whose header was disallowed for offside.
With ten minutes left the Robins scored a consolation from the penalty spot through Steve Gillespie, but they didn't merit anything more.