Well well, in short - ZUN loves to experiment with various sounds and styles. Every game and album often sound distinct from each other and they have recognizable instruments that have been used specifically in said games. This has been pretty much a thing ever since ZUN obtained SD-90 (it's harder to tell the difference between PC-98 games and the SC-88Pro MIDIs...)
Anyway, every game and album pretty much represents a different style, though Dolls in Pseudo Paradise for example sound nearly like Embodiment of Scarlet Devil (though DiPP is more depressing-like).
I'm not the only person that has noticed it as there are various arrangers on Youtube or NicoVideo which upload rearranged tracks. Here are few examples:
https://youtu.be/Uql-Fde25Gw - At the End of Spring in EoSD style
https://youtu.be/TaH96vR3zA4 - Lunate Elf in WBaWC style
https://youtu.be/i-okdLmcYOA - Retrospective Kyoto in LoLK style
https://youtu.be/S6i8Zdc55gU - Doll Maker of Bucuresti in DiPP style
These are few examples. By now, the algorithm should probably pick up something for you~~
Share your thoughts. For me the best instruments were in Touhou 9, especially the percussion and organs (and bells in the background of some tracks too...) But my favorite ones are generally the Classic Era, Th11, Th12, Th13, Th14 Th15 and that's about it. I like sounds from Touhou 16 onwards. I do, but they don't have such impact on me as the previous ones. The biggest issue I find are the drums used in Touhou 16 onwards. (They may have appeared before, but they were lighter probably). There's something wrong with them, as if they were flat or something. Is it just me or does it impact you in a such way too?