The only two Mega Man games I own are X on SNES and Wiley's Revenge for Game Boy. So I'm going soley on those two.

Favorite Game: Mega Man X
Favorite Character: Zero
Toughest: Dr. Wiley's Revenge
Toughest Boss: Dr. Wiley in Dr. Wiley's Revenge. I've never beaten that game without cheats.

I've played X so many times that there's really no challenge until the final Sigma...I've never been able to beat him.