3 easy laws about Gensokyo:
Women fight by Danmaku, Bullet Hell. That's why there are practically no males in the cast; they are theoretically present in the universe and are numbered about 50/50, but we never see them because the games are about bullet hell and men don't do that. Presumably they fight traditionally or the gender roles are reversed, I'm not entirely sure. Sometimes males appear as side-characters or lore helpers such as Rinnosuke.
People cannot die from losing Danmaku. It doesn't leave real wounds, it just gives mild concussions.
Be careful when you talk shit about other characters, cause it's pretty certain they're going to be someone's Waifu.
If you want lore, there's /r/Gensokyo posting short stories about the cast. About 20 pages average, most of them are translations. (If you weren't familiar with Mangas, you read them from top-down, right to left)
Since the Touhou universe is mostly fan-developped with developer guidance, people get a lot of creative freedom but the characters' personalities are often pretty well cut out that it doesn't really matter who tries to tell a story with them.
There are plenty of songs on youtube. Originals. Variations. Remixes. You probably ran into some of them since you got introduced by Smooth McGroove. There are other notable covers by Tumenco, Get in the Ring, Undead Corporation, IOSYS and many others. I'd also mention Nitori Kapashiro, but his/her channel got taken down after some bullshit, I don't know what's up with him/her anymore though it seems he's/she's re-uploaded a lot of stuff on another account.
One last note, games that came pre-Windows are often considered less cannon than others. That means 1-5. For example, you defeat one of the bosses and then their ghost later comes to exact revenge.