Oh man, I LOVE Mega Man! I've enjoyed all of his games and incarnations. Classic Mega Man, Mega Man X, Mega Man Legends, Mega Man Zero, all of them! My most favorite would have to be Mega Man X, but Battle Network takes a close seconds.
His latest incarnation, Mega Man Star Force, has a very interesting plot. Having to do with electromagnetic waves, the constellations and a lot of space-related stuff. Pretty interesting. I'm eagerly waiting for Mega Man Star Force 2.
Mega Man Battle Network is also a favorite of mine, although from what I've seen not many people like this series. But hey, for me it's a pretty good series, and at least Capcom gave the series an ending unlike Classic Mega Man and Mega Man X, I'm still waiting for Capcom to make a game that gives closure to those two and bridges them to their next step in the storyline. (Classic -> X -> Zero -> ZX -> Legends)
In my opinion the Mega Man series hasn't gone downhill yet. While there are some bad games in the series (X7, Battle Network 4), I still have yet to see a series of bad ones that can declare the series has gone downhill.
Just for the heck of it, here are my favorite Mega Man games for each gen.
-Mega Man 8
-Mega Man X8
-Mega Man Zero 2
-Mega Man Legends 2
-Mega Man Battle Network 3
Can't choose from Mega Man ZX and Mega Man Star Force yet since their sequels haven't been released yet =P