Though Daiyousei never got official art from ZUN, she has a probable cameo in one chapter of Strange and Bright Nature Deity looking and acting very much the way fanart tends to portray her, with the distinctive side ponytail. Though her Fairy Wars sprite, being based on the EoSD one, lacks it.
In addition to the fan-given name, Koakuma had a cameo appearance in Inaba of the Moon & Inaba of the Earth with two pairs of black wings, one on her head and one on her back, just as depicted in fanart.
Because of her connection with history, her home in the human village, and a comment by Remilia, Keine was frequently cast as a teacher to other characters in fanworks after Imperishable Night. Later official works made this canon (though it jossed the idea of teaching any youkai characters, since she said she only wants to teach humans).
Apparently things like this were even happening in the PC-98 days, since ZUN hangs a lampshade on it in the manual for Embodiment of Scarlet Devil.
Unintentionally, [Reimu] is a shrine maiden. Or rather, she is a shrine maiden only because the Touhou series has become the "Shrine Maiden Shooting Game" series. It feels like the cart has been placed before the horse to me.
Hopeless Masquerade has made quite a few fanon ideas canon, such as Marisa surfing on her broom and Mamizou smoking a pipe.
Of course, all ascended fanon is usually a coincidence, as ZUN has said he doesn't look at fan games because he doesn't want to plagarize, intentionally or on purpose.
Hong Meiling - China is so widespread that even ZUN has admitted to using it. Before that it was Kurenai Misuzu, the Japanese pronunciation of the Chinese characters that make up her name. An ongoing debate over whether her name was supposed to use the Chinese or Japanese pronunciation was in fact the source of the "China" nickname, which was offered as a compromise because being Chinese was her main identifying trait anyway. It's used less and less often these days now that Meiling is more of an established character.
It should be noted that this nickname is so strongly associated with her that "China" redirects to her page on the Touhou wiki.
Sakuya - PAD-Chou/Pad Chief. Fans noticed her bust size change considerably between her character art in Embodiment of Scarlet Devil and Immaterial and Missing Power. While this is probably because the former's art was done by ZUN, who many believe simply isn't good enough at perspective to draw breasts, the tongue-in-cheek fan theory that she started padding her bra between the two games caught on. Fanon has it that mentioning such in her presence is a good way to wind up knifed to death. She's also called Sakuya Brando due to her similarities to Dio Brando. This really says it all.
Yuuka - Japanese fans often call her Yuukarin as a take on Yukari's Yukarin. Yuuka can also be romanized as Yuka, though, so the distinction is often lost in English. She's also sometimes called Ultimate Sadistic Creature, or USC for short, due to some of her lines suggesting that she enjoys dealing out violence.
Merlin - Meruponote a combination of her name and "nurupo", short for null pointer exception (a programming term), in reference to her occasionally buggy behaviour in Perfect Cherry Blossom, also known as ξ・∀・
Youmu's ghost half is referred to as Myon among fandom due to a quote of hers from Perfect Cherry Blossom. This is also used as a nickname for her in general.
Ran - Suppa-Tenko, translated as "Naked Heaven-Fox", from an infamous fan-comic. Because of this, some fanworks often humorously portray her as a streaker.
Yukari - Yukarin, also Sukima ("gap"), in reference to how her powers manifest and Babaa ("old hag") in reference to her extreme age, being 1300 years old minimum, as she created Gensoukyou and thus one of the oldest characters in a series filled with centuries-old characters, and also as a pun on her name.
Suika - Watermelon. When written in kanji, her name can be the same as watermelon. It is rumoured that the origin of watermelon is related to Suika as well.
They were probably just intended to look like they're glowing, but the fact that most of Reisen's bullets in Imperishable Night are colored white caused some fans to speculate that they're suppositories. The name stuck, in no small part to another flash byIOSYS so some call her "Suppository".
Kaguya - NEET. Mokou in Fanon also uses this as an insult, although Kaguya has taken to rebutting by calling her a hobo. Also Teruyo, an intentional misreading of the kanji that make up her name. Naturally, it gets more use in Japan than the western world.
Aya - "Slut", or "ZUN's girlfriend". Detractors of her Creator's Pet tendencies sometimes jokingly suggest that she seduced ZUN to secure her spot in nearly every Touhou game after her debut, not to mention those spotlight-grabbing Gaiden Games and her general high power level. It also doesn't help that ZUN once wore an outfit matching hers.◊
Eiki - Yamada, a pun about her position as Yama ("Yama da" meaning "it's the Yama") and the common Japanese surname Yamada.
Kanako - Guncannon, because of a spell card of hers that attaches pillars to her shoulders. Kanako's breasts, due to their large size in most fan depictions, have a Fan Nickname of their own - "Mountains of Faith".
Suwako - Western fans often call her Suwacko or Swackers, while her Nice Hat is known as Pyonta.
Iku - 193 (ichi kyuu san -> Iku-san). This occasionally leads to crossovers with Kamen Rider Kiva, where IXA is read similarly.
Tenshi - Chiquita Dragonforce, Peaches and Momoko due to the fruit in her hat. Tenko, an alternate reading of the kanji in her name, is both used as a nickname for her and as a means for linking her to Ran's Suppa-Tenko meme.
Kisume - Bucket Ranka, because of her resemblance to a certain Macross Frontier character. Otherwise, she's known as Bucket Loli.
Utsuho - Chernobyl-tan, due to her nuclear fusion powers, Bahamuko, from Bahamut of Final Fantasy fame due to her spell cards titled "Mega Flare" and "Giga Flare", Onric or "⑥", due to being similar, yet opposite to Cirno, and finally Deep Crow.
Ichirin - Due to the way Unzan supports her in combat like a Stand, a noticeable number of fans have begun calling her Ichirin Kujo. Cue the fist-versus-knife-fight with Sakuya. Less flatteringly, she's also called Unzan's Hitboxnote after an awkward comment by ZUN in an interview, saying that Ichirin only existed so Unzan would have a hitbox.
Byakuren - Youkai Jesus, Youchrist, Gensoukyou Gandhi, Suigintouhou and The Anti-Marisa, because she is a magician, and an opponent, who pillages patterns from Shinki, Yukari, Yuyuko and Marisa herself.
Nue - U.F. Owen, due to her supposed similarities to Flandre, and her UFO-themed spell cards.
Unnamed Giant Catfish - Primeus in a reference to a M.U.G.E.N joke character of that name made by Ricepigeon, to the point that some people actually think that's its name. More recently, people have taken to calling it Namazu, which is just the name of its species. This is somewhat justified by the fact that it is referred to as "namazu" in the game's files.
Reisen II, for the moon rabbit introduced in SSiB, to differentiate her from Reisen Udongein Inaba.
Yorihime - Moonbitch, as popularized by her detractors, though her name being hard to remember didn't help her. Both Watatsukis together can also be referred to as the moonbitches, or even all Lunarians more rarely, but the singular Moonbitch seems to be Yorihime.
Several unnamed characters have officially adopted their Fan Nicknames, like Tokiko, Daiyousei and Koakumanote Usually shortened to Dai-chan and Koa, respectively.
Mamizou and Nue, together, are for some reason being labeled "The Frat Boys".
Dummied Out: There exists a character◊ cut out from Embodiment of Scarlet Devil; called Rin Satsuki. Her name and two of her spell cards (Wind and Flower Signs) are found in the game's code, and fans popularly believe her appearance to be the unknown girl in the circle cut◊ (Comiket advertisement) for Touhou 6. She's also presumed to be a kirin, due to her name (Satsuki Rin), and believed to be a nurse, because of a statement Marisa makes close to the end of EoSD.
Flanderization: A surprisingly large amount of fan works reduces most characters to their most remarkable character trait (or another one altogether) for Rule of Funny. A few examples are Marisa always stealing, Yuyuko always being hungry, Flandre always being crazy and/or breaking her toys and Mokou and Kaguya always trying to kill each other to no avail. Their thought trains are equally restricted in this matter, which is examplified in thisDanbooru animation and its comments.
Meaningful Release Date: The English patch for Yousei Daisensou was released on September 9. The game stars Cirno, who has a memetic association with the number 9.
No Export for You: Zun expressed he is not willing to sell to Western audiences. Supposedly, this is mostly due to shipping costs, and the potential for cultural misunderstanding (Ran's swastika spellcards were cited as an example).
It seems some people believe that he doesn't want people selling it via "downloads aimed at overseas buyers", either, according to the official Touhou Project Guidelines. However, this is due to a mistranslation; the original guidelines are clearly labelled as applying to fanworks based on the Touhou series, and state that such works shouldn't be sold via the App Store, Android Market, Xbox Live or downloads aimed at overseas buyers. Of course, this isn't happening.
ZUN may have changed his mind over time; at Anime Weekend Atlanta 2013, he said he was interested in bringing the franchise to the US, and specifically mentioned that he liked Steam as a possible avenue for distribution. However, he said the biggest issue was that someone else would have to do the translation, and he really prefers being able to handle the games from start to finish.
Trolling Creator: When SOPM came out, a lot of the profiles subverted the moe treatment many characters got (Nitori is not a shy kappa, she's a racist asshole, Hina is not someone you want to be near), and in the interviews following after, ZUN claimed Kisume - another shy youkai - is a Serial Killer who decapitates people and throws skulls at others and that Tenshi was misunderstood and bullied by everyone. Nitori's dialogue in Hopeless Masquerade is extremely different from her dialogue in Mountain of Faith (and even Subterranean Animism, where she encourages the player to beat up their opponents), which consists of insulting her opponents and openly bragging about being a scammer.
ZUN had been thinking of making a team-up game (which later became Imperishable Night) before the Windows games even came out. EoSD was originally supposed to be the team-up game, but ZUN felt it would be odd to have sets of previously un-introduced characters be playable. EoSD and PCB were then made to introduce the player to several sets of new characters in preparation for IN.
When Embodiment of Scarlet Devil introduced the spellcard system, it became the first shooting game to ever give an official name to one of its bullet patterns. (Naturally, some patterns are given names by the fans... Touhou itself has Gengetsu Rape Time, after all.)
Nonstandard boss fights:
Alice in Perfect Cherry Blossom appears twice as a midboss (the first after only a single wave of fairies) before the full boss fight later on.
Mystia in Imperishable Night starts her boss fight immediately after losing as a mid-boss.
Kanako's stage in Mountain of Faith has no midboss at all.
Miko's stage in Ten Desires follows the same trend.
Yuugi in Subterranean Animism stays on the screen after mid-boss fight and continues shooting at you.
Nue, the extra stage boss in Undefined Fantastic Object, appears as the midboss in Stages 4 and 6, but in the form of a ball of light.
Rin, the Stage 5 boss in Subterranean Animism, is a midboss in Stage 4 (Twice), Stage 5, and Stage 6.
Byakuren Hijiri, the final boss of UFO, has no hitbox.
Soga no Tojiko, the stage 5 midboss in Ten Desires does the same thing.
Kurumi in Lotus Land Story was the only PC-98 character to act as her own midboss. The Windows games made this the standard.