I was thinking about this last night, but I think one thing that really grabs me about Touhou stories is that most of the characters are functionally adults. Certain there are characters who physically resemble children (the Scarlet sisters, Suika and the fairies, notably) and a couple of actual children or teenagers like Hieda and Youmu, but they're pretty much exceptions. Even Sanae, who was a high schooler in the outside world, has been in Gensokyo for some time when most stories about her happen. Everyone else, even childish-acting characters like Marisa are accomplished drinkers, live independently and are often experienced in their fields. Generally I get the impression of at least 18 or 19 for most of them, and characters like Sakuya I'd even put into their mid-20s as far as attitudes and looks go. Official materials may disagree, but I'm largely going by how they're presented in stories more than a number on a page.
A yuri setting largely full of fully (or at least mostly) grown women is a rare thing to come by, and I think that's something that really grabs me about Touhou, other than the inspired setting itself.
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