I've never actually played any of the Touhou games, though I've considered trying to get into it, in part because of the music. Wouldn't really know where to start, though
I've actually only played The Embodiment of Scarlet Devil and Perfect Cherry Blossom. The first two Touhou games for windows. Gotta catch up sometime, there are so many of them.
Some are known to be freakishly hard. Google could probably give you a better opinion on what to start with. ~_~
Bastion! Played it just very recently. The audio is very central to this game.
I urge you to get it.http://www.youtube.com/watch?v=-jU9EFTMhbY