I will say this about EVE, though - the players who are into it are effin' dedicated players. EVE Online was the only company in Iceland to report a profit in 2008.
Back on topic:
This is an excellent discussion. I've learned different things from different types of games.
Maybe not ironically, the two games with the steepest learning curve have been really low-tech. Yume Nikki and, to a lesser extent, Cave Story took me the longest to learn how to play properly. I think what does a lot of people in when it comes to Yume Nikki is that it doesn't do the unlocking levels thing. Every single item you need to collect are all somewhere, spread out across multiple rooms but on the same level. I think most players are accustomed rather to starting, say, in a single room and finding one item, which unlocks the floor of a house, where you will find another item, and so on. Yume Nikki is a lot of endless, endless exploring. I really think the major reason why people stay on Yume Nikki is that the visible world is finite - you know all the items are somewhere within these rooms. Plus the surreal, sort-of-disturbing music and art keep players' attention.
3D RPGs are I think, easier for me to play than shmups, and FPSs even easier. I played the former (first in pencil-and-paper D&D, later in video) for years before I tried a straight-up first person shooter. An FPS is all about going from A to ultimately B down a path with few deviations, killing everything in your way. There's certainly a time and a place where I'm in that kind of mood, but I like the exploration aspect of an RPG; the freedom and the potential for hours of gameplay.
One thing that helps keep players coming back to both genres is that you usually don't die in them the same way you would in a shmup. You die, you come back to life, right where you are, for as many times as it takes. If you could only die three times, in an FPS or RPG, where after the third time you died, you were returned to the very beginning of the game, people would lose their minds. Of course, a complete run through a shmup is about 20-odd minutes long, so programming the player to lose hours of gameplay in the event of three deaths would be pretty harsh.
Their dynamics are entirely different, too. RPGs are more slow-paced. They teach you to take your time in your explorations, because they can pay off: side quests. The first time I played Fallout 3, I raced straight for the main goal and got it. Then I decided to try and see how many sidequests I could get in before hitting the primary target. That was an entirely new experience. Playing with six or seven active sidequests opened up the entire game world for me.
The FPS, I think, is a lot more fast-paced in building your character's power. And the path to the goal, although it meanders, is narrow. In Bioshock, for example, every step of the way was an act of accruing something - money, ammo, Eve, some random crap in case I find a U-Invent. The gaming path snakes its way through Rapture, and you just keep attacking and/or acquiring. My usual country stroll pace of gaming was out of the question. The game taught me to react more on reflex for a lot of actions, picking up items without really thinking about it.
Shmups in general teach me more than anything else to learn from my mistakes. I don't know why I do this, but for some reason, I find it hard to watch a replay of a Touhou stage I haven't completed but want to. I have no problem pausing Oblivion to google something that's confusing me. But playing Touhou, only if watching replays of my failures and trying everything I can think of has failed to get me anywhere. It seems pretty arbitrary to reserve a strictly I'll-figure-it-out policy to Touhou when I have no trouble looking up solutions for probably every game I've played. But there it is. Touhou's taught me to think more flexibly.
I just got I Have No Mouth and I Must Scream, and I love it. It's definitely something else. But I think I need to play that more before I can say anything about what it's teaching me.