Eldritch horrors - We're loooong overdue for one. It'd be interesting to see what kind of abilities ZUN would give one.
Amatsu Mikaboshi - The biggest baddy there is. I can imagine that at least a fragment or alternate version of it will feature as a major boss in later games (perhaps even the absolute final one).
Hydras/Orochi - I would like to see how ZUN would deal with the 'seven to nine heads' thing. I can imagine it'd result in seven to nine girls connected together by a long snake-like ribbon.
Mermaids - Do I really need to explain this one?
Lamias/Nagas - See above.
Selkies - Selkies aren't often used, yet they seem quite fascinating. Besides, a seal girl would be just adorable, no?
Liches/Necromancers - I think it's likely one will appear in TD now that Yoshika has popped up. A character with the power to raise the dead could result in original danmaku.
Tanuki - Another type of youkai that we're long overdue for. We already have a kitsune and a nekomata, so why not finish the set?
More arthropod youkai - I just really love insects and arachnids. :derp: A beetle, moth or mantis girl would be very cool. Another fun idea would be fighting a caterpillar youkai in an early stage and that you fight her again as a butterfly later on.
I may come up with a few more later, but these are definitely ones I would like to see in the future.