Unsorted thoughts:
Looks cool, monster-designs are rad. The lack of sound effects and music hurts this a lot, I just can't get seriously into it without a bop and more booms to get the blood pumping.
When you die you should be able to restart quicker than exiting out to the menu, one button press. When you spawn in you should do so with a blasting sfx and music immediately fucking you up.
Gunplay seems fine and cool but it is really hard to tell without sfx for some weapons, the sfx for the basegun needs to be meatier too. Wrath is an awesome gun design and fun to use, but the sfx sucks. I am repeating myself but I think sound and music is what you should focus on next.
Shooting the bosses more once they are dead is a nice touch. Shoggoth, lovecrafter spotted.
Flying crystal butts need to have that crystal as a weakpoint, I did not see damage differ when I aimed for it.
Finding the exit can be a bit tricky, I would actually just add an arrow which points towards it. When you have cleared a stage that is a good opportunity to add some soul, when you have music, change the track once all enemies are dead.
I think you should consider adding a mode where all weapons are unlocked from the get go for demo-purposes, this will allow people to give you better feedback and you can more easily give them an instant impression of what the game has to offer.