Mega Man Zero 3: Blades, grades and darker shades
"The heart is what counts. Not the body..."
The Mega Man Zero series was a salve to the wounded Mega Man fan in those dark times. Yes, there were plenty of Mega Man games being released, but it felt like he was a throwback at best, stuck in 2D when everyone had effectively moved on. Resolutely for committed, old-school gamers. We had Battle Network, which was good fun but not very Mega Man at all. We had the increasingly crappy Mega Man X series wasting everyone's time on PlayStation with its lazy, sloppy nightmares of level design. Then we got the Zero series with its focus-demanding gameplay, insane boss battles and beautiful pixel graphics. Yum.
Zero is a misunderstood series, in some ways. In fact, I'm going to initiate Lazy Journo Protocol 1.0 and compare it to Dark Souls. Mega Man Zero, like Dark Souls, has a reputation for extreme difficulty that simply isn't warranted. It's definitely challenging, but I'd argue that most of the more intense stuff is self-imposed.
There are plenty of options to mitigate the supposedly high difficulty, the problem is that they all reduce your overall rank and the kind of gamers who want to play a Mega Man series spin-off simply will not accept a B rank. This isn't a criticism of said mindset, rather a failure by the Mega Man Zero titles to properly cater to their audience. Your performance on every mission is graded from S to F, based upon multiple criteria. You need to kill enough enemies, take only a (very) limited number of hits, beat the mission quickly, et cetera. Take two hits? Sorry, you only get 99 points out of 100. There are unlockable extra attacks locked behind a consistent S or A rank, so you kinda need them if you're any kind of completist. And you are, because you're a Mega Man fan in the 2000s. You don't need to chase those ranks, but you will. Ergo, the game is hard as hell. Because you don't use the crutches the game gives you, the "Cyber-Elves" you feed with crystals found in each level, which grant increased power when used. You don't use them because they hurt your rank.
Mega Man Zero 3 is the best one, incidentally. It's also fifteen years old, which terrifies me. It follows up the ever-expanding plot of the previous two games, encompassing callbacks across the entire spectrum of Mega Man in a way that delighted long-term weirdo fan me, presenting a story with a genuine (if extremely melodramatic) emotional heft and real consequences, while married to the coolest levels in the series with the best bosses. It is, simply, the best and smoothest game in a sub-series comprised entirely of brilliant games. If you only ever play one, play this. But you should play them all, because they're great.
Oh, and you don't have to get an A rank first time through, alright? That's what New Game Plus is for.