I started playing these games
recently and they're fun even though they're challenging. The only real problem I have with them is that they require an amount of focus I usually don't have at my disposal.
Due to the aforementioned focus problem, I prefer using characters that have some homing or spread attacks, since I have trouble following the enemy's location and bullets/stuff around me at the same time (even in the case when a boss has an indicator at the bottom). I do use Marisa, at times, but I play a lot more aggressively and take more risks when I do. It's actually a bit more fun that way, when I'm not really trying to accomplish anything but survive.
The only ones I've finished so far: Embodiment of Scarlet Devil, Perfect Cherry Blossom, Imperishable Night, and Mountain of Faith. The only one I've finished without using a continue was Imperishable Night; that one seems to be the easiest to me, followed by Mountain of Faith.
The only boss I dislike are the Prismriver sisters. The fourth stage of Perfect Cherry Blossom in its entirety usually chisels away at least half of the lives I have by that point. I've yet to play the game enough times to really figure out how to defeat them without losing so many lives.
Of course, if I had more of a mind to take advantage of my bombs, I probably wouldn't lose so many lives. For some reason it just doesn't occur to me to use bombs all that much. I guess I just get too involved in dodging, if I still see a way that I might avoid getting hit. Most of the time I die because of a mistake on my part, so of course running into something unexpectedly doesn't give me time to use a bomb.
I've tried the hard and lunatic difficulties a few times, just for fun, but I mostly switch between easy and normal difficulties. I'll probably never play the hard and lunatic difficulties seriously unless I'm able to put more time into playing the games and improving enough to do that since, like I said, I have trouble getting started and playing them in the first place.
The only downer about these games is that I have to "kill" so many faeries. ;/
I can't say whether I have a favorite character or not; most of them pretty much act the same way (making witty remarks and such). I can see what those manzai videos could have been inspired by. There aren't any that I particularly dislike, so far...
Hmmmm... Well, to end this, maybe anyone else who plays these games would like to join in a friendly competition, where we post images of our scores/overall statistics and see who gets the top spot in several categories. My skill at these games are rather novice, so no one should feel discouraged by me. ;p