The infamous Gradius V ten point run. When the old shmups.com forums were up, someone had the idea to run through GV's first level without firing a shot until the boss, and shoot one ring it fires. Then proceeding with suicide. Nobody ever did it, so months ago I did it. Proof-

Also, after beating a boss in Ikaruga, I'm known for playing Pong/Breakout...just bouncing your ship off the walls at angles emulating those types of games. Bonus points if you go "BLIP!" out loud or change polarities when you hit the walls of the screen.
When playing shmups with friends over MAME32k, I tend to...er, 'dance' around the other player's craft. It's utterly stupid, but somewhat funny to me.