My favorite character from the PC-98 series was brought back in Perfect Cherry Blossom. I'd like to see Shinki turn up again, but considering she's from Makai there may not necessarily be a reason to pull her in. Besides, apparently UFO ripped off her iconic attack, so I guess as far as ZUN's concerned, she's already back. I also really liked Sariel, but part of that could just be the way the encounter worked in tHRtP.
I guess I'd have to say Mima. She was the closest thing Touhou ever had to a recurring antagonist. Since I was introduced to the series through the PC-98 games (not counting music listened to beforehand), I really liked how Touhou had some manner of Eggman, who was always at odds with the protagonist, despite not really being the primary villain anymore.
Of course, that would be a tough achievement for the opposite reason as Shinki. While there's no room for Makai in the series after the fifth game, if Mima came back to be a similar form of threat then that would drastically change a few things about the universe.
Note, most of my information regarding Touhou is a few games outdated. I don't know the story to SA and UFO, and don't intend to find out until I play them.