Shmups, eh? I used to plunk down a bajillion cents into the local arcades playing them. Later, I started wasting a bajillion hours into the console ports. These are my fav shmups of all time:

Terra Cresta (arcade)
Gun Frontier (arcade)
Sky Adventure (arcade)
Super Contra (arcade/Famicom)
Sonic Wings/Aero Fighters (arcade/Saturn/Playstation)
Raiden II (arcade)
Super Spacefortress Macross (arcade)
Darius Gaiden (arcade/Saturn)
Layer Section (Saturn)
Radiant Silvergun (arcade/Saturn)
Ikaruga (arcade/Dreamcast)

These games are a list of games that I have previously played / owned only, so certain games like Gunstar Heroes for Megadrive didn't make my list simply because I didnt' own a Megadrive

Well, that's my list anyway. I'm sure all old school gamers will have their own list of favs. Sigh, how I fondly remember those days gone by...