Jamestown: Legend Of The Lost Colony
It's a Bullet Hell Shmup that came out recently on steam. The setting is Mars in the 17th century, you are a British Redcoat trying to defend the Colony of Jamestown from the Martians and their Spanish Allies while trying to find out what happened to the lost colony of Roanoke.
http://store.steampowered.com/app/94200/In my opinion it hits most of the right buttons to make a good shmup, it does not have power ups but you can purchase different kinds of weapons. It also has 4 player local co-op.
Comments
Oh and one thing I found that people may not like is that to proceed past the 4rd level you must beat all the previous levels on Difficult and to get to the 5th world you must beat all previous levels on Legendary.
In short buy this game, you will not regret it.