Just confirming CAVE as a must check... They are the creme de la creme of shmups.
Not in MAME, but most of the Sammy 'Atomiswave' games are fun with good replay value and the closest thing to a shmup on the platform is 'Dolphin Blue' which is much closer to an incredible 3D version of Metal Slug. Some people knock it as a blatant ripoff, but as a Metl Slug Junkie I have to say it is a lot of fun. Knights of Valour 7 is a lot of fun, Rumblefish, Demolish Fist, etc....
You could also look for IGS for games like Demon Front if you like the Metal SLug like Genre.
Hope it helps
-Goz