The Tale of Alltynex (Alltynex Second is the best but all three games are excellent.)
Jamestown (One of the very first shmups on Steam and still one of the best. Finally updated too.)
Astro Tripper (Another early Steam shmup. Very unique mechanics. Criminally underrated.)
Raiden IV (Has a stupid bug that prevents offline play. GOG's version might be the one to get.)
Armed Seven (Astro Port has several good shmups on Steam now. This is my favorite of theirs.)
Deathsmiles (Wonderful gothic setting and artwork. Cave's games are legendary for good reason.)
Jets 'n' Guns Gold (The most popular Euroshmup on Steam. A bit too chaotic for me but still great.)
Revolver360 (Damned difficult 2.5D bullet hell that looks and sounds fantastic.)
Rheum (Uniquely grotesque downward-scrolling bullet hell with an end goal at the human sphincter.)
Danmaku Unlimited 2 and 3 (Awesome high-energy doujin shmups with deep score systems.)