YMMV for both series:

Audience-Alienating Premise: Some viewers may find themselves uncomfortable with pairing a canon character (and a powerful one to consider) with an Original Character (and one that is can be seen as an Author Avatar), although Mini is a rounded character and the relationship builds over the course of the series.
Sweet Dreams Fuel: Whenever not busy with slapstick antics or drama, virtually anything involving Mini and Utsuho, Mini and Megumi, Yuzuki and Nightmare, and Hiraku and Momiji (whenever they're not fighting, that is).
Moral Event Horizon: Victor manipulating his fellow vampires and starting The Vampire Incident in Gensokyo. The incident was so horrifying and could only be solved in Pyrrhic Victory after countless human casualties (including Megumi's parents) thanks to local incident solvers, hence the creation of Spell Card system to prevent the same thing from happening again.

YMMV for Mini's Shorts:

Nightmare Fuel: Koishi Komeiji is usually a calm person, but will go Ax-Crazy if something went wrong with her hat. Hiraku found out the hard way.
Squick: If there is any implication, Hiraku may have caught Nitori pleasuring herself with a cucumber red-handed in Newspaper Bout. Complete with "I'LL NEVER EAT CUCUMBERS AGAIN!!!" scream.

Nightmare Fuel:
- Netchu's encounter with the red-eyed woman in the cell.
- If Mini takes too much damage (combined with Okuu being in danger), his youkai half will take over, and someone will definitely get hurt really bad.
Visual Effects of Awesome: The animation pushes create.swf to its limits, full of custom props.
- The opening sequence.
- The sword battle between Megumi and Youmu in Episode 2.
- The human village stuff in Episode 4.
- Mini's battle with the Scarlet Devil Mansion Crew in Episode 4.
- Episode 6: Where to begin?!
  - Virtually all of the characters are in custom costumes.
  - Most of the backgrounds are custom and with 3d perspective.
  - Remilia's introduction, plus Remilia's costume.
  - Nightmare's magic show, making great use of create.swf's bullet patterns.
  - Marisa's firework display.
  - A Walfas First, a couple dance scene between Utsuho and Mini.