First we had the Mega Man Anniversary Collection which had Mega Man 1-Mega Man 8 and now we have the X Collection which has Mega Man X1-X6. I have put about 20 hours into it!
My order from favorite to least favorite would go like this:
X1 and X3 (tie)
This also has a bonus game called Mega Man: Battle and Chase which is a racing game with Mega Man characters which is supposebly simalar to the Mario Kart games. It's unlockable and I've already unlocked it.
This compilation is certainly worth a look for anyone who likes platformers. It only costs $30 for 7 games (Especially for the rare X2 and X3) so it's worth it.