I'll say this first. Excluding Youmu, all the shots in this game are very similar. Unfocus is a low power spread type, focus is a high power forward focus type. I'm pointing out the differences just for the sake of it, but really you could choose who to play based on who's dress you like best and it won't make a huge difference.
Reimu: 8/10
tl;dr She's an awesome shot but she sucks if you like to bomb/trance through everything.
Between the 3 "normal" shot types, Reimu has the best range. Her homing destroys stages better than Sanae's spread. Her needles are not quite as strong as Marisa's missiles but she's still able to take out bosses pretty quickly. Plus she's got a smaller hitbox. If we ignore bombs and trance, Reimu is hands down the best shot type of the three.
However, we can't ignore those. With most characters, you can trance, kill a ton of enemies, then gather the spirits to quickly refill your trance meter. While I'm sure her auto-collect ability is great for scoring, it prevents you from using this trick which means less trances. And since you get double life/bomb fragments while in trance, it means less resources all around. Combine that with the shortest, weakest bomb, and what would be a game-breaking shot type is now only as good as anyone else.
Marisa: 8/10
tl;dr Danmaku is all about power. Stages aren't that hard anyway.
Marisa's focus shot is the strongest of the three. While she functions fine as a forward focus type, she generates a ton of spirits when near the boss so she turns into something of a shotgun type. Her spread is the strongest of the three but it's also the most narrow. It's still weaker than the focus shots so it's high power is kind of pointless.
Her bomb is the longest and the most powerful, completely destroying most boss patterns. However, it slows you down. So unless you plan to bomb in advance, you'll be unable to shotgun the boss for spirits. Her trance is the best in the game, having the same ridiculous power as Youmu without having to be right next to the enemies (letting you do the method I described earlier to refill your trance meter). She has a fat hitbox, and it is quite noticeable.
Sanae 8/10 and a gold star
tl;dr She's a crappy version of Reimu who gets a crapton of trances.
Sanae has a better spread than Marisa, but still not as good as Reimu. Her focus shot is not only the weakest in the game, but the way the shots curve, sometimes you can be sitting right under the boss and they'll fly around the boss. In other words, she doesn't always deal full damage even if you are sitting under the boss. Plus she's got a fairly large hitbox. If we ignore bombs and trances, there is absolutely no reason to choose Sanae over Reimu.
However, in every area that Reimu fails, Sanae is amazing. Her bomb, while just as weak as Reimu's, is longer. It allows you to sit on top of the boss collecting spirits. Since Sanae doesn't have Reimu's auto-collect ability, it means she can do the trance refill trick I mentioned. The bomb, plus the trick, plus Sanae's ability which fills her trance meter faster, and Sanae gets far more trances than any other character. And more trances = more resources.
Plus, she's got the cutest dress.
Youmu: 8.5/10
tl;dr She's hard to use but she's better than everyone else.
The "weird and difficult to play but really good if you learn it" shot. Because of the way the slashes work, she pretty much deals full damage at 1 or 2 power, and higher power instead increases her range. Since stage 1 is balanced for Reimu/Marisa/Sanae's damage at 2 power, and Youmu is dealing more damage than they would at 4, she destroys stage 1 :V However, it also means the lower your power the higher on the screen you have to be to do any damage. This can become quite noticeable on Miko. Plus you have to get used to quickly switching between focus and unfocus, and that can be a big problem on Miko, Nue, and a few other patterns. Still, she destorys everything else with much less effort than Reimu, Marisa, or Sanae.
Her bomb is long and strong. Her trance is incredibly powerful, though you have to be near the enemy for it to be useful (thus the refill trick doesn't work). However, the way her shot works, you can't shotgun or else not as many slashes will hit the enemy. But you get more spirits the closer you are to the enemy. In other words, she can't get a ton of shotgun spirits the way Reimu, Marisa, or Sanae can. With these two flaws, she gets less trances than Marisa or Sanae. Still, her regular shot is almost bomb level in power so it doesn't really matter.