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Only Touhou games, CDs and literature produced with ZUN's involvement are considered to be official canon for the Touhou universe. These are listed under Games, Print Works and Music on the main page.
Uncertain Canonicity of PC-98 and Seihou Games
Even among ZUN's works, the canonicity of the first five Touhou games produced for the PC-98 platform is uncertain, because in the Windows games, events from the PC-98 series were only mentioned once, by Alice. The only characters from the PC-98 games to appear in the Windows games are Reimu, Marisa, Alice and Yuka, and no references have been made to any other PC-98 characters since the Windows series started with Embodiment of Scarlet Devil. For example, it is unknown whether Mima and Ruukoto are still living at the Hakurei Shrine, but they have been depicted doing so in a few doujinshi.
The appearances of some Touhou characters in the Seihou games may probably not be canon, since there are no references to them in Touhou works. (can this be confirmed?)
Non-Canon Fanworks
Fanworks, most of which consist of doujinshi and fanart, are non-canon. This includes Concealed the Conclusion, with its premise about the fundamental nature of Gensokyo, and the Touhou Project Side Story animated film.