N64
Star Soldier: Vanishing Earth
PS2
Mobile Light Force 2
Silpheed: The Lost Planet
Capcom Classics Collection 1 and 2
SNK Arcade Classic Volume 1
Castle Shikigami 2
R-Type Final
Raiden III
Taito Legends 2 (seriously!)
Sega Classics Collection
Wii
Castle of Shikigami III
Ultimate Shooting Collection
Blast Works (Quirky, but relatively fun)
Ocean Commander (So-so)
Saint (Very meh...)
Gradius Rebirth (WiiWare)
Star Soldier R (WiiWare)
There's some really good shmups for the NDS, too; Nanostray 1 and 2, Bangai-O Spirits, and Big Bang Mini come to mind.
Most of these are affordable, although some have gone up in price slightly. Of the whole list, I'd recommend Mobile Light Force 2, Castle Shikigami 2, and Silpheed: The Lost Planet, as they are quite cheap. Heck, R-Type Final for $15 is still a deal.
-Aero Fighters
-Axelay
-Darius Twin
-Gradius III
-R-Type III: Third Lightning
-Raiden Trad
-STG: Strike Gunner
-Super R-Type
-Thunder Spirits
-U.N. Squadron
Those are definitely some great shmups. AXELAY is love - been meaning to add it to my collection, but never find it at a right price.
Another one is Aero Fighters; I wish I could own it, but that's seemingly impossible. I remember renting it a lot back when Blockbuster was a thing.