Kaguya-hime (full name, Japanese style: Houraisan Kaguya) is from
Touhou Project 8: Imperishable Night. She's a/the moon princess. Also an incredible NEET, if fan canon is anything to go by.
Alice (full name, Western style: Alice Margatroid) is from several
Touhou Project games; most notably she first appeared in
Touhou Project 5: Mystic Square for the PC-98. He first appearance in a Windows-based game was
Touhou Project 7: Perfect Cherry Blossom. She's a magician and puppeteer. Shanghai Shanghai Shanghai Hourai Hourai Hourai~
Youmu (full name, Japanese style: Konpaku Youmu) is also from several
Touhou Project games; her first appearance was in
Touhou Project 7: Perfect Cherry Blossom; she's slated to appear as a protagonist in the thirteenth (at least, numbering-wise) TH game, "東方Project第13弾 東方神霊廟(とうほうしんれいびょう) ~ Ten Desires." Youmu is Saigyouji Yuyuko's assistant and gardener; she's half-human, half-ghost, and half-baked, if her boss subtitle is to be believed.
Basically, they're all characters from the Touhou game series; you can learn more at http://touhou.wikia.com/. I won't elaborate further, because there are a
lot of Touhou games, the fandom is
huge (huge enough that there are over a thousand fan albums of just the game's
music; not to mention even more fan comics, figures, plushies... there are even fan
games of Touhou games! And there are fan comics of
fan comics. Basically, Touhou is, in and of itself, an entire indie industry), and the games are
difficult. (FYI: they're bullet hells. I love 'em to death, but I'm terrible at them.)
IMO the coolest thing about Touhou is that all of the main bullet hell games are done by a single guy, ZUN - all of the programming, art (lol, ZUNart), bullet patterns, mechanics,
music... he does produce the games under the "team" name of Team Shanghai Alice.
-- Griffinhart
ETA: Also, the Rule ⑨ I keep referring to: "If it exists, there is a Touhou crossover with it." Yes, Touhou is
that prolific. (Also, the ⑨ stems from a meme in one of the games' manuals, where a character - Cirno, an ice fairy who, in fanon, has the propensity for claiming herself to be "the strongest" - was labeled "⑨ - Baka". Henceforth, the circled nine has been a reference to Cirno in specific and Touhou in general.)
ETA2: As for my image sources: I keep sayin', Danbooru. But if you want a specific link, you can always stick the image/the image URL into http://iqdb.org/ and reverse-image search for the sauce.
ETA3: And once more, Rule ⑨!
Suwako and Portapros. Also, lol, poor Pyonta.