Touhou 1-5: PC-98
Touhou >6: Windows
Spinoffs: Windows
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You can download the games at various sites and forums, but I highly suggest you buy the game from a site like J-List. At Touhou Wikis you can find the English Patch for the games.
Internet.
As for now, all the Touhou games (6 to 18) are only available for Windows computers and Mac (running bootcamp). Besides this, the games 1-5 are only available for download on PC-98 computers, which were dropped due to incompatibility. I'm honestly pretty unsure over how to download games 1-5, but you can find the official games on Steam, and can buy Touhou 6 on Amazon. (make sure to look for a trusted seller)
Imperishable Night, in my opinion. Great music, great backstory, and a very good synchronization with the music-spellcards. It's perfect.
Although pirating is pretty popular amongst the Touhou community, most games would fall under $14 CAD and the spin-offs being $12.