It's a great game. It excells in every catagory of gaming that I care about pretty much:
music, challenge, replayability, Characters (story isn't important to me often, but the characters often are, and most Touhou characters are definately loveable). I really like the whole goofyness to the whole thing as well. Also in particular for a shooter game, I like them to feature pretty bullet patterns, which Touhou is among the best of.
The fan-made products for Touhou are jaw-droppingly good as well. Labyrinth of Touhou for example is quite possibly one of the best RPG games I've played for me, the challenge yet balance the whole way thru, with no crap wasted on meaningless extras and overpowered optional gear. I hate now RPGS these days slap boring as @%#%# goals to get that 100%, and think that's proper replayability (zomg let's make the palyer dodge 1000 lightning bolts in a row in this area for ____'s ultimate weapon!).
The music, I really hate it when people say none of it is as good as Zun's. IMO that's the opinion of someone who really doesn't love the music. I mean I respect ZUN, and I think he deserves every bit of credit he gets. But he only writes his music Zun-style. Sometimes you want something rockier, or with metal, or maybe you like vocals. His style doesn't offer that. So even if you prefer that style over metal or something, I wouldn't call it "better", or "worse", but "different". They take his awsome compositions, and re-make it to fit people who want to listen to it with a different style, and no matter what, the results are often pleasing.
I don't mean to come across as a mindless fanboy. But seriously, you can take pretty much anything, and Touhouificate it, and it often suits my tastes better due to inserting a (most likely) cooler cast, great music, and often increased challenge (yet more balance).