DC has Ikaruga, Triggerheart Excelica, Gunbird II, Under Defeat. There's more I'm sure, but I'm not as familiar with DC.
It's not cheap but if you get into the 360 import stuff you won't be sorry.
The Dreamcast Shmups list is:
- Bangaioh
- Border Down
- Castle of Shikigami 2
- Chaos Field
- Giga Wing
- Gigawing 2
- Gunbird 2
- Ikaruga
- Karous
- Last Hope
- Mars Matrix
- Psyvariar
- Psyvariar II
- Radilgy
- Trigger Heart Exelica
- Trizeal
- Twinkle Star Sprites (Neo Geo port!)
- Under Defeat
- Zero Gunner 2
Getting these DC games aren't that much cheaper than getting the new 360 ports, if you're looking to buy retail releases. Most of them will run you at least $50, some can go up to and over $100.
Saturn games run a little cheaper, but you won't be getting any of the 3D games, and since you already have an Xbox, you already have most of those 2D games playable anyways. My vote is for the DC, the shmups are great (Ikaruga, Under Defeat, Border Down, and Bangaioh are my favourites. Twinkle Star Sprites is awesome too, but you can play that on an MVS emulator), and the system is cheap to get. Pad hacking is pretty easy for the DC, and the controllers are common ground. If you're running to through a TV, you can get an S-Video cable, but if you're planning on connecting to an arcade monitor, you'll need the VGA Box (and hack it to switch to 15khz).
You really can't go wrong with a DC, and if you wanted to connect it to a horizontally mounted monitor, you have some great arcade version games like Crazy Taxi, Virtua Tennis, House of the Dead, Rez (and more!) available to play. The only downside is the lack of Cave games, but IMO there's more to shmups than just Cave games.