So, Cave recently decided to make its fanbase crap its collective pants.
Before I list the games they're releasing, let me explain why this news is so surprising. Up until about 2 years ago, shmup development generally followed this pattern:
1. Game gets released in the arcade
2. Game remains arcade exclusive for some period of time (a year or two?). This gives arcade operators a chance to make money.
3. Console port gets released, if you're lucky. If you're really lucky, it's region free. If you're extremely lucky, the game gets released outside of Japan.
However, anything that wasn't ported within a couple years after the arcade release generally never made it to consoles. Many Cave and Raizing games never got a port, and in some cases weren't playable in MAME due to technical and/or legal reasons. So anything that was never ported or emulated was generally unplayable to people who don't have access to Japanese arcades or the cash to buy PCBs (which are like $2000 at launch and several hundred dollars years later).
However, starting about 2 years ago, other developers started getting interested in porting Cave's old games to Xbox360. So far we got Dodopachi Dai Ou Jou Black Label, Mushihimesama Futari, Espgaluda II, and Ketsui (shmup fans have been waiting for this one since 2003... I'll spare you the long, grueling story behind the port).
So having said that, Cave has announced these ports for Xbox360:
Guwange coming to XBLA. Actually, this isn't news, but I figured I'd mention it since it will be coming in a month or two. This game has been playable in MAME for years, so there's relatively little fanfare for this one. I'm not sure what's really new for the port, but I think it has a new mode for Xbox360. If nothing else, it'll be nice to get instant feedback by seeing your scores on the leaderboard, but it can also be depressing since you can see how your best effort still only gets you like 10% of a good Japanese player's score.
IIRC, Cave conducted a fan survey to see which game got ported, and this won. Strange choice, being that it's available in MAME. I guess some people would rather see a port of a game they know they like instead of taking a chance on something new.
Dangun Feveron is coming, probably via XBLA. Before I start, I have to admit this is tied for my favorite shmup (with Parsec47, which is more or less a freeware clone). It's also the most unCave Cave game; a lot of Cave fans aren't to keen on it, but shmup fans that aren't big fans of Cave seem to like it more than Cave's other games.
Compared to other Cave games, the bullets in this game are fewer in quantity but greater in speed. Plus your ship speed is really fast if you play the game correctly, so there's plenty of spastic insanity in this one. Unlike other Cave games that reward precise timing or letting the screen fill with bullets, this one wants you to kill everything as fast as you can. The game is disco themed and features a fruity announcer that you'll either love or hate. Score is based on collecting disco men that appear after destroying enemies.
Like Guwange, this has been in MAME for years, so it's probably considered lesser news amongst the bunch here.
Dodonpachi Daifukkatsu, retail Xbox360 disc this winter. This is the latest installment in the legendary Donpachi series. It's a relatively new game (2008). I've only played it once or twice, so I can't say too much about it. It seems to get universal praise from those who own the PCB, but dropping four figures on a video game probably affects your judgement.

AFAIK, the difficulty was toned down from the previous game in the series, the notoriously brutal Dodonpachi Dai Ou Jou.
Pink Sweets and
Muchi Muchi Pork will be released on a single disc in Spring 2011.
I've played Pink Sweets a few times, but I didn't really know what to do except shoot and dodge. The guy who owned the game tried explaining the scoring system to me, but either it's batshit insane or I have the IQ of a chimp that grew up under power lines. The one thing I do know is the music gets stuck in your head for days.
Oh, and it has some lolis if you're into that sort of thing.
I only played a couple credits of Muchi Muchi Pork, so I can't say too much about this one either. People who own the PCB seem to like it, and AFAIK the PCB is still pretty expensive despite the game being a few years old. Based on my limited experience, this is the winning half of the disc.
Oh, and it has some fat lolis if you're into that sort of thing.
Ironically I don't play shmups very often anymore. If this was three years ago, I'd have been super stoked. Also, no word yet on region locking, but I highly doubt any of these will be released outside of Japan (except for the XBLA ones, of course). Some Cave games have been region locked, some region free, so I guess we'll just wait and see.