I got really into Cave in the PS2 era with DDP DOJ. I'd never really played bullet hell shmups more than occasionally in an arcade and I always thought they were some unapproachable barrier games where only the most hardcore of the hardcore could play them with so many bullets abound. Then when I gave DDP DOJ a shot I learned that these games weren't all that hard, at least in the first few stages, because your hitboxes is incredibly small. That begun my enjoyment of the thrill of moving a 1 pixel dot around a screen a 1000 bullets. I played Espgaluda after that and it was even better with it's creative mechanics that let you make the game easier for a few seconds when you really needed it.
I became a Cave fan and picked up and learned each of their games. How the mechanics work, how the stages are laid out, the differences between modes, how to score. They were one of my main reasons besides Mistwalker rpgs for getting a J360. Now that my J360 is dead, I'm glad most of Cave's X360 stuff has been region free or released domestically so I can still play them on my US360.
It was also exciting looking forward to the next Cave shmup. Their spritework was incredible and probably the best modern 2d work being done outside the Super Robot Wars team this decade. Their soundtracks kicked ass, and each game had really unique and interesting gameplay systems that made it more than your typical "fly up straight and dodge bullets" shmup. Towards the end of this gen, when their output kind of dropped off the map after Akai Katana, I was a little worried. Now that they're gone I'm sad.
But I'll remember them for the great company they were and will keep dodging bullets in their games for decades to come.
It would be nice if the bulk of the talent went over and got jobs at GREV or whoever else still makes shmups and increases the quality of those companies outputs. Cave was always leaps and bounds above the rest of the shmup developers in pure fun.