Akai Katana for Xbox 360 has dropped to ten dollars on Amazon last time I checked, making this a fantastic time to get into the genre known as bullet hell. If SHMUP games in general weren't hard enough, the bullet hell genre, games usually produced by the sadists at CAVE, exists to satisfy the cravings of psychotic masochists everywhere who love nothing more than to navigate a tiny hitbox of a ship through an endless see of multicolored bullets while trying to get the highest score in the process along the way.
I was originally introduced to these games with Mushihime-Sama Futari for the 360, an import only title that also happens to be region free, and is considered one of the toughest in the genre. I was amazed by the sheer insanity of it all, and took it as a challenge. But after importing that, I got a taste, and wanted more.
While I am not particularly great at the games in the genre, I tend to enjoy them more these days than typical SHMUPS. Just the tension and stress of moving carefully through waves and waves of enemy fire is a feeling seldom replicated in other games, and it is always fun to have someone come over and say, "hey, wanna try a game?" only to see their jaw hit the floor when the shit hits the fan.
If you are looking for bullet hell games on the cheap, Steam is probably the best way to start. Games like the Gundemonium Collection are fantastic, and apart from Hitogata Happa, a particularly notorious and difficult game, they make for a real good starting point to introduce yourself without being too overwhelmed right out of the gate. I have been playing these the past few days, and along with Jamestown, they are among some of my favorite SHMUPS on the PC up to this point.
However, if you really don't have the few dollars it costs to pick those up but still want a taste, the Touhou series, made by one man in Japan, are available online for free in several different places. I am not sure of the legality of this, so I won't give any links, but the many, many games in this series have become one of the finest examples of the genre available. They are almost elegant in their bullet patterns, the music is fantastic, and the graphics, though outdated and old at this point, are perfectly serviceable. Getting a controller set up for use might be a hassle, but I have heard of plenty of folks having an easy time getting it to work with Joy2key, so there are ways around that problem. I have found that they play perfectly fine with a keyboard however, so they are worth a look even if you don't have an alternate method of control.
On the consoles, 360 is by far the way to go. Even if you don't have a Japanese 360 there are quite a few Japan only games available for import that are region free; among the best of these are Espgaluda 2, Mushihime-Sama Futari, DoDonPachi Saidaioujou, DoDonPachi Resurrection (European only) Muchi Muchi Pork, and the natively released Deathsmiles, and Akai Katana. There are some downloadable games available as well like Guwange, and Deathsmiles X2, so there is plenty there to choose from if you want to get your console fix on. I have also heard good things about Sine Mora though I haven't tried that one myself.
There are some import titles available for PSP but I won't get into them here since I am not familiar with any of them. But mostly, a lot of the other consoles are lacking in this regard. MAME emulation is also a fantastic option that will allow you to play most of the 90's releases of CAVE games, along with many others. If you have a Wii, there is always Castle of Shikigami 3, and you might find a few games on PSN as well.
This is a genre of games that isn't for everyone, but it's one I have personally become quite fond of. It's not as twitchy as some people probably imagine it to be; since you cannot often escape the large blocks of enemy fire, it often becomes about using slowdown to your advantage to carefully navigate through the tiny cracks in the enemy fire, making the games often more about careful, methodic, precise movement and timing of special moves and bombs in order to escape one tight jam after another. This typically makes the games feel somewhat puzzly, far more than one might expect; a lot of time you will be looking at your ship rather than the rest of the screen, watching your hitbox carefully to make sure it doesn't collide with anything.
With the new generation of consoles on the way, and consoles like the 360 now cheaper than ever, now is a good time to get into the game if you have ever had any interest. The import costs for many of the aforementioned games is really not too bad, and with awesome titles like Akai Katana dropping to bargain bin prices, you can easily build a small collection of these games if that's your thing.
As far as the mechanics themselves goes, most of the games have a unique hook of some kind that differentiates them from others. In games such as Deathsmiles of GundeadliGne, you can turn left or right to fire at enemies in front or behind you. Akai Katana has an insane plethora of complex mechanics, making it among the most mechanical of the bunch, and Hitogata Happa has an incredibly fun mechanic where kamikaze attacks are necessary to destroy most bosses, and where by purchasing various "dolls" for use in each stage, the player has access to a variety of different ships with different strengths and weaknesses; difficult to master, but with such a range of options, it makes the game extremely replayable.
In short, those who condemn Bullet Hells for having no strategy or depth apart from avoiding on screen pellets have obviously never taken a really deep look at the genre and seen the variety lurking within.
I personally love these games. They require intense concentration and focus, and an almost obsessive attention to detail. The reaction times needed in order to affect survivability are through the roof, and just because of their sheer difficulty, they are incredibly replayable. Although it can be quite easy to eat up infinite continues and see the end in less than an hour, it will take a lot more to get through on one life, play through multiple difficulties, and spend your time improving your score. So I definitely recommend them based on that principle alone.