The fantastic shmup, Eschatos, previously only available for owners of Japanese XBox 360s is now released on Steam:
http://store.steampowered.com/app/378770/ I recommend getting the Wonder Pack, as you then also get Judgement Silversword too.
Ten days from now, CAVEs beautiful shmup, Mushihimesama HD, previously only available for owners of Japanese XBox 360s, will appear on Steam too:
http://store.steampowered.com/app/377860/ Let's hope enough people buy this so they continue to port the rest of their previously unreleased (home ports) games. Sure, many of their later games can be played in MAME now, but the emulation isn't very good, and this is an HD port.
A shameless plug also for an indie shmup called ZenoHell, also on Steam. It's a 90's style shmup with high difficulty and a 28 track soundtrack by yours truly:
http://store.steampowered.com/app/402030/