What should I know before watching?

Kii_Ibarra said:
So long as you go in knowing that it's entirely fanmade, I'd say you should be good. (Which is to say, if you don't like it, you shouldn't be deterred from giving the official games/manga a go at a later point; And if you do like it, you shouldn't necessarily expect to enjoy the official products as much/for the same reasons)

I know someone who was introduced to Touhou through this series, so I'd say it works as an abridged introduction to the cast and storylines