Obviously very different for different genres of games. For the
game I've been working on lately, all of the enemies are differentiated by minimalistic icons, but more importantly, have dramatically different movement and attack patterns.
I think it's interesting though, that as far as Shmups go, nearly all of the TouHou games recently have had the whole game with basically like four sprites for enemies (little generic fairies, and some spinny yin-yang things) and differentiated them entirely via hp, movement and attack patterns.
I guess what I take from this is that the different enemies need to be recognizably different from each other, but it's more important that they act differently from one another than that they look different from one another.