Picking something canon from Zun would be a good starting point I think, then go from there. There's thousands of stuff to get into, I'd highly reccomend it. To make it simplier I'd pick a group you like then learn of them and branch out from there.
EOSD as ComfyCave said with Remilia and those who live at the Scarlet devil mansion. There's the Moon princess Kaguya and gang. There's a lot characters to take in. The easiest might to follow stories that follow Reimu. The main character relatively speaking. So Wild and Horned Hermit a canon work I think would be a good start.
I could write an essay on the wonders of Touhou lol But I'll spare everyone that mess.