I really like UFO. Maybe it's because it was the first Touhou game (er... demo... but whatever) I played, there's definitely something that just makes it stand out to me.
I also enjoy the UFO system, mainly because it works in a sorta risk and reward way. Though I can't help but feel that lives should still require 5 star pieces rather than 3. I dunno, maybe it's because I feel that there's something wrong about gaining 2 lives before the end of the the first stage.
Now the continue system that was introduced in MoF. I say it feels more like "Would you like to practice this stage?" rather than an actual continue system. Though I gotta say, I kinda like it like that, especially since I have this "1cc or bust" (I think I used that right, but correct me if I used it wrong) mentality when it comes to arcade style games.