PCB introduced arrowheads, butterflies, curvy lasers, music notes, and curved daggers.
IN introduced amulets, stars, literal bullets, oval pellets, inverted bullets, and additive blend fireballs.
PoFV introduced some more bullet types, but I don't think any of them carried over into the other games except Komachi's coins.
StB introduced the new additive blend fireballs.
MoF introduced tiny spinner bullets.
SA introduced explosions and hearts (not just Utsuho's explosions either, Orin, Satori-Alice and Suwako have used them as well)
UFO introduced droplets, umbrellas, brofists, anchors, runic lasers, curvy laser the revenge, and purple fire (many of these could be seen as familiars though)
DS introduced minipellets, and has additive blend versions of many other bullets, some of which are used instead of lasers for the spark attacks.
That's probably most-ish of them :V