My favourite Touhou is 8, Imperishable Night. It is the only one I have 1cc'd, which probably has to do a lot with the large reaction window in which you can bomb when you get hit, as well as the many lives you can gather. Regardless, the music in the game, although simple, has many of my favourite songs, most notably Plain Asia and Gensokyo Millenium. Marisa's boss battle is extremely memorable, all those shiny star attacks keep popping into my head. I also enjoy fighting Keine and Eirin/Kaguya. 8's cast is pretty good and the story is (for a Touhou game) rather good. I have played it a bit on hard but I haven't managed to 1cc it. My absolute favourite feature of the game, however, is how there are four teams do you choose from, thereby the possibility of playing 8 different characters of the series! While some games only have Reimu and Marisa (characters I don't really care for) as playable, 8 has a variety. I also think the time orb feature is good, as depending on how efficiently you complete the level and fight the boss, you can get additional points by fighting another, tougher spell card.
My first Touhou game was EoSD, and then I went chronologically. For some reason I can only really bear to play 6, 7, and 8. The later games frustrate me too much, although 13 was an exception and I managed to play it from start to finish without too much fuss. I haven't really played the new one, and I should.
Right now, I want to:
1cc 7 and 6 (in that order)
1cc 8 on hard
Get back in PC98 games. I played 5 only a few times but it was promising.