My Favorite is light gun game on the Wii is HOTD Overkill. You can get through the game pretty quickly, but there's a good amount of replay value to unoock stuff, plus a few multiplayer minigames.
RE Umbrella Chronicles is on sale for $30 at the EB/GS "Game Days" sale (plus you can use a 10% off coupon) which is my 2nd favorite light gun game. It's more in depth than Overkill, with about 10 hours of gameplay, and it give some nice back story to the RE series.
BTW HOTD 2/3 is on sale for $20 and Ghost Squad (kinda Time Crisis-ish arcade shooter) is $15 at EB/GS now also. Both are good light gun games.
There's a light gun mode in Medal of Honor Heroes 2 that I like also. If you want to check out something in the WWII vein, it's worth taking a look at. I thought it was much better than the light gun mode in Call of Duty World at War, which I found to be pretty much unplayable, and just ended up using the Remote/Nunchuk configuration.
One light gun game to avoid is Target Terror. It's a pretty poor conversion of an arcade game that's a ripoff of Lethal Enforcers.
As for which shell to get, I have both the Zapper and Perfect Shot. The Perfect Shot definitely feels more sturdy and more like a real gun, but I still use the Zapper for games like RE UC that use the nunchuk.
It's too bad the HOTD gun shells never came out in the States. They look pretty badass:
http://nintendo.joystiq.com/2009/01/...t-like-g-does/