Mega Man X was my favorite of the series. It was the first Mega Man visit to the NES. I have Mega Man X2, but unfortunately only rented Mega Man X3. Mega Man X2 has never pulled me into the game quite the way MMX did.
I loved the idea that Dr. Light had left pods with upgrade abilities behind for X. It was refreshing that, unlike prior Mega Man games, you could get abilities that could increase your agility, armor, and weapons without having to beat a boss and drain the weapon energy bar.
Going back a bit, I am still a huge fan of Mega Man II and III for the NES. Mega Man 7 on the SNES has to be one of my most hated games; I beat it once (after countless tries) and never wanted to touch it again!