I haven't actually played the games. Frankly, though I'm interested in shoot-em-ups, I've never been any good at them--hand-eye coordination and reflexes aren't my strong points.
Instead I've watched the various world-record replays. (I've only gotten up through IN, because I only got sucked into Touhou a couple of months ago.) I've always loved watching kick-ass players. For IaMP, it seems no one bothers with score-running, so I've watched some top-end tournament matches instead.
Oh, and I have used Cheat Engine to run through IN and IaMP...not to play them, but to screen-capture all the dialogue (and for IaMP, the endings). I used replays to do the same for EoSD and PCB, before I figured out the Cheat Engine trick. For EoSD, PCB, and IN, I got the endings by extracting the images and text from the data files. Yes, I'm a compulsive nutjob. I just like having easy access to that stuff.
For PC-98 stuff, so far I've stuck to watching YouTube replays and playing the music in Hoot.