I'd say my favourite ends up being MarisaB in SA though I had some other contenders (ReimuC in MoF is kind of fun but I haven't played a whole lot with her; I also really like shots like ReimuA and MarisaB in DDC.)
Why did I end up with MarisaB? Because the idea you can change your shot's option at any time and figure out silly strategies on patterns you would not've thought were possible before, it is quite a fun experience to sit on Orin during her first nonspell and second nonspell for example with the backshot, it is very interesting how multiple shot options can be used at various moments in several patterns; it adds the additional fun of not per se having to do one particular approach.
I also really find ReimuC in MoF fun, specifically because she's a kind of weak shot if you cannot shotgun with her; it adds the additional risk of attempting to shotgun because of that.
I like both ReimuA and MarisaB in DDC, for ReimuA it is because the Gohei allows some really silly strategies and interesting routes, there's also the thing that the gohei moves off an enemy after a while so you still have to be concentrated and make sure to recenter it from time to time so it does also add some necessary concentration. For MarisaB it is really just because of the bomb, it is very amusing to put it on patterns that produce a lot of bullets which in return are converted to both power items and point item value, collecting those power items also gives bonuses; That is why a category like DDC Extra is so much fun to do with MarisaB, there is plenty of opportunity to use the bomb and reel in a lot of power items.
Though I'm honestly the most fond of MarisaB in SA over the other shots mentioned here, I'd like it if I could've said more about pc-98 shottypes but I don't find any that hard to play with or really gimmicky, so I couldn't really elaborate on that as much as I would've wanted.