As far as bullet hells that send you back to the start of the game when you die go, this one's not too bad. If you won't add save points, I only have a few things to say:
1) The level 3 bullets that explode into a bunch of projectiles look too similar to the ordinary circle bullets that spawn when enemies are defeated. They should have a distinctly-different shape or color to better stand out among the crowd of bullets.
2) The bullets in the difficulty selection make it seem as if bullet patterns are what get altered between difficulties, but in my experience, the only thing that changes is enemy HP. Although this does indirectly reduce bullets since enemies die quicker, there were still times where there were so many bullets that I couldn't figure out how to get through without using a bomb--even on Easy. If it's not too much trouble, I suggest reducing the actual amount of bullets shot by enemies on Easy mode.
3) Whenever I beat the stage 3 boss, the game goes straight to the final boss, skipping level 4. How do I reach level 4? Are you counting the final boss as its own level?
4) Where's Road Warriors 1?
EDIT: Oh, and a way to remove the marquee would be nice so the game just has black letterboxing instead.