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A boss's weapon can be acquired by picking up the orb she drops after being defeated. (Any shots the boss has fired remain active even after she's gone until you get the orb, so be careful, as it is still possible to be hit by these leftover shots.) Whichever girl grabs the orb gets the weapon and the other girl gets nothing, so if you want the other character to get the weapon, remember to hit pause and switch characters before you grab it.
Weapons with a * next to them are generally acknowledged to be the better choice, although a decent amount of the alternate weapons are good as well. The only weapons that are really one sided are Youmu's (Rolling Slash is just too good), Reimu's (Homing Amulet is just too underpowered), and Cirno's (White Rose Cluster will destroy Eirin, and Ice Vulcan is pretty weak). So try to find the combination of weapons you find most useful.
If you want to follow the starred recommendations, then Yuyuko and Reisen's weapons can go either way depending on your preferences, mostly on which bosses you want to have an easier time on. If you want to take out Reimu, Ran/Chen, Suika and Super Marisa more easily plus have an easier time in Youmu's stage, give Alice Yuyuko's weapon and Reisen's to Marisa. On the other hand, if you want to easily take down Aya, Cirno and the Patchouli Machine plus have an easier time in Remilia's stage, give Yuyuko's weapon to Marisa and Reisen's to Alice.
If you would like to see the special weapons in action, here is a Youtube video that demonstrates all of them: http://www.youtube.com/watch?v=4PikKxZIIPw
Ice Vulcan (Marisa)
Fires a stream of small icicles at high speed and slightly erratic direction. Can be rapid-fired. Very similar to Mega Man 3's Needle Cannon. Shoots quickly and consumes little energy, but not much attack power; it is mainly useful for providing an alternative to Marisa's normal shot in situations where you need attack spread and coverage, such as groups of fairies or a particular enemy just above or below the height of your straight shots.
White Rose Cluster (Alice)*
Starts a small ice ball in Alice's hand; the longer the fire button is held, the larger the ball gets. It has three levels of power; after a few seconds of holding a maximum-power shot, it will fire automatically (otherwise it can be fired at any time by letting go of the fire button). An amalgamation of Mega Man 2's Atomic Fire and Mega Man 4's Pharaoh Shot. If you get hit, you lose the charge, so be careful. You can also ram the charged snowball into enemies. A level one charge will be lost in this way, but past the smallest size, the ball will persist and deal continuous damage to enemies it is held within unless Alice is hit. This can be extremely useful against Eirin or some other bosses.
Black Lotus (Marisa)
Shoots off two large energy balls, one straight up and another one down. If you are standing on the ground, the lower ball will go forward because this attack has the ability to run along any floor, wall or ceiling it encounters. Can be used as an anti-air or anti-ground weapon; medium attack power.
Force Crisis (Alice)*
Summons a meteor that falls diagonally behind Alice. Somewhat difficult to aim due to its unique nature; however, it has very high attack power and can take out many enemies in one hit. Since it flies diagonally it can be used to hit enemies above or below you, depending on your position. Notably, it only actually loses weapon energy if it damages an enemy, meaning you don't waste energy on failed shots.
Butterfly Stream (Marisa)
Fires off a swarm of spirit butterflies diagonally up and forwards. Very powerful, will blow right through groups of enemies and damage some enemies that are invulnerable to normal shots. As an anti-air weapon it is second to none, though it misses some grounded enemies because of its diagonal path. Similar to Mega Man 2's Air Shooter. Experts at the game will have a lot of fun with this one.
Reincarnation Ghost (Alice)
Summons eight ghosts in two concentric rings around Alice which will remain around her for approximately ten seconds or until they hit an enemy, whichever comes first. Similar to Mega Man 7's Junk Shield, although with a time limit. Can be double-summoned for a total of 16 ghosts, and you can also switch to another weapon or to Marisa while the shield is active, setting up combo possibilities. Very helpful for beginners and in some areas, although it does not block shots.
Yin-Yang Strike (Marisa)*
Shoots a large, glowing blue and white yin-yang that bounces slowly on the ground. Up to three orbs can be summoned at a time, although they dissipate instantly if they hit a wall. Although their effective range is quite short, the orbs have a very high attack power, will pierce most enemies and hit multiple times, and can destroy both the blue yin-yangs you encounter rolling around in some stages and the red orbs Reimu fires in a single hit. Highly useful against the final boss, and against Reimu herself during the teleporter boss rush.
Homing Amulet (Alice)
Fires a large, square red and white amulet that will home towards nearby enemies. Up to three can be shot at a time, but it lacks power, much weaker than the regular buster shot against certain enemies. However, it is quite powerful against bosses due to its homing nature. Similar to Mega Man 3's Magnet Missile.
Red Magic (Marisa)*
Fires a huge red orb of energy straight forwards, leaving behind a bat-shaped trail of magic that gradually dissipates. The trail can cause residual damage similar to Mega Man X4's Plasma Shot. This weapon has very high attack power, and is probably Marisa's best weapon, although it consumes the ammo gauge like mad if abused. Further adding to its versatility, it can be fired upwards diagonally (1) or straight up (2), and if it is fired diagonally, it can ricochet off walls (if fired straight it goes through them). For maximum damage effect, fire it in an open area and chase after it so the residue trail remains on screen as long as possible. Supremely useful against many bosses.
Bloody Cross (Alice)
Shoots out a red cross in a boomerang pattern, flying out about half screen before returning. Can hit rapidly, and improves on the Red Magic's directional options as it can be fired in eight directions, including upwards, (3) downwards (4), and in all four diagonal directions. While it lacks Red Magic's sheer power, long range and ricochet ability, it does consume less ammo per use and is easier to aim. Similar to the Spike Ball from Mega Man X5 or Shadow Blade from Mega Man 3.
Thousand Knives (Marisa)*
Freezes time on screen for about five seconds; in the process, generates two concentric rings of knives. Once the time freeze ends, the knives strike every enemy on screen. Causes heavy damage to any enemy that isn't immune to it; most weaker enemies will be destroyed immediately. Be aware that while time is frozen you can still get hit by any enemies or projectiles on screen. Crucial to survival, especially in the Quick Man-style force beam section of the Patchouli fortress's first level. Similar to Mega Man 6's Centaur Flash, in that it must be reactivated if you want to freeze time again. Goes through energy rapidly and can only be used up to four times without collecting more energy, so make it count.
Fires out four knives at high speed in a spread pattern. Can take out most weaker enemies, but isn't much more powerful than a normal shot. It penetrates, and together with its spread can take out a mass of enemies in front of you very quickly, although it has a blind spot in the middle. Another nice feature is that it consumes very little energy, allowing you plenty of shots. Similar to Mega Man X4's Twin Slasher. What makes it less attractive than Thousand Knives is the fact that it is incapable of stopping time.
Ghost Cutter (Marisa)
Shoots a green crescent-shaped wave straight ahead. Moves fairly fast but only has about 1/4-screen range, limiting its usefulness severely. Similar to Mega Man 7's Slash Claw. Doesn't come close to matching Rolling Slash in terms of bang for the buck.
Rolling Slash (Alice)*
Can only be activated in the air; generates a whirling red field around Alice, dealing heavy damage to any enemy that touches it. Despite its short range, this is probably Alice's best weapon simply because of its incredible power level and the fact that it doesn't use a lot of energy. Its only weakness is that you can't use it on the ground. This weapon is essential; it makes many incredibly annoying enemies drop like flies in one hit. It does not make you invincible or block projectiles, so still be careful. Similar to Zero's Kuuenzan from Mega Man X4 and Top Spin from Megaman 3
Psycho Missile (Marisa)
Fires a large bullet that causes a big explosion when it hits an enemy or a wall (5). Moves very fast and packs a wallop, plus you get plenty of shots. It is similar to Mega Man 4's Drill Bombs. This and the Mental Sacrifice can both be used to destroy the green walls you encounter in some stages, like Mega Man 2's Crash Bombs and Mega Man 3's Hard Knuckle.
Mental Sacrifice (Alice)
Throws four grenade-shaped projectiles on an arc; when they hit the ground, an enemy or a wall, they burst into explosions (6). They are not as large or as powerful as the Psycho Missile, but cover a wider area, and like the Psycho Missile they also can destroy the green walls.
Weapons not related to a particular boss.
Stardust Missile (Marisa)
Spectrum Mystery (Alice)
Alice's basic weapon, only half as powerful as Marisa's Stardust Missile, but capable of continuous fire, similar to the Bass Buster. Hits more rapidly the closer to Alice the enemy is. May or may not be a glitch, but enemies that quickly pass vertically through Alice's laser will not be damaged despite the continuous fire.
Magical Broom (Marisa)
Marisa's flying broom. Not actually a weapon, can be used as a temporary platform or to cross long gaps that are impassable any other way, similar to Mega Man 2's Item-2. Disappears when it hits a wall or runs out of energy. Acquired after completing four stages with either character.
Slightly Awesome Shanghai Doll (Alice)
Alice's helper doll, which, once activated, automatically homes on the nearest enemy and fires small shots at it continuously until the enemy is destroyed or it runs out of energy, much like Mega Man 5's Beat. Individual hits do not cause much damage, but its continuous fire makes the damage gradually add up and it can easily reach faraway enemies. Acquired after collecting four boss weapons for Alice.