I started with the X series, but after some years I managed to play nearly all the Megaman games to date (Except 9 and Command Mission).

Each series is excellent, but my vote goes to the Zero series, mostly because it combines the hardcoreness of the first series, and the game style of the X series, adding it's own design between. Next to them, all the others are in a tie (Battle Network and Starforce receive a third place...)