Well, since I refuse to pirate them I only have what I've been able to get my hands on legitamatly. They are: IN, PoFV, STB (was almost impossible to find, even by Touhou standards and cost an arm and a leg, but I really wanted it so...eh), SWR, SA and UFO.
I think PoFV is pretty easy (see my earlier posts for details), so no real problems there.
IN is the next easiest, and is the only one I can get to the final boss, I usually only lose one or two lives for most of the game, but Reisen rapes me (especially that spellcard where the whole screen fills with crap, and they phase to the left and right, but don't leave gaps big enough to fit through... (that spell is also where I usually Game Over on lunatic). Marisa (or as I call her, the bitch from hell) always screws me in any Touhou game, and this is no exception. I just get disoriented by those bloody, twirly stars

! And those lasers that come up from behind you screw me over really bad as well (they are actually one of the few things outside of Shikieki that ever hit me in PoFV).
I'm pretty good at STB, but as I previously mentioned I can't play that anymore

.
I would own at SWR, because (I don't like to brag but... ah, who am I kidding, I love to brag) I am awesome at fighting games. I actually used to play Soul Calibur II at tourament level. However, I've barely touched SWR, because a fighting game with a keyboard... forget it. Although, this will be the first game I break out when the Razer Onza is released next month.
I find SA pretty hard, and can only usually get about halfway (also note that in all games, I won't tweak any settings to give me an advantage, except control layouts, so I'm always playing with default lives etc).
UFO is pretty stupid in my opinion, I find it much too difficult and I can only get up to the third (?) stage.
So tl;dr version - in descending order of difficulty for me: UFO, SA, STB (assuming that it gets keeps getting harder at about the same rate), IN, PoFV, PWR.