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The 360 is the place to be for Shmups.  I think it's because it is such a niche genre nowadays, that fans will buy the games for whatever system they release on.  Cave, a huge shmup developer, chose 360 because it's cheaper and easier to develop for.  If you have an American 360, Raiden IV, Death Smiles, and Ikaruga are all available.  You can also import Espgaluda II and Mushihime-sama Futari because those games are region free.

The Playstation is not all lost though.  With a Japanese account and a yen card you can download a slew of PS1 shooters, such as Einhander and such.  And there's also the Gundemonium collection.

Unfortunately, if you're a hardcore fan, you're looking at getting a Japanese 360 or a Super Gun.