My only previous experience with Mega Man is ZX Advent, so bear with me.
Story: The first game in the series starts off with Resistance members finding a Reploid named Zero, and they release him from his prison. (I think, I can't exactly remember.) Long story short, Zero gets recruited to fight for the Resistance against the evil empire Neo Arcadia. I really can't discuss the other game's stories, because the games all pick up right where the previous left off. But, I actually liked the story of this series, and it ends strong, if rather abruptly. 9/ 10
Sound: Most of the music is forgettable, and the sound effects are basic. Kinda average. 7/ 10
Graphics: These games were all fairly good looking, andit's funny because, with each game, you can see how much the graphics progressed and got better with each installment. The sprites are highly detailed and the bosses are fun to look at. 9/ 10
Gameplay: This is my first reveiw of a compilation game, so I'll reveiw each one individually.
Mega Man Zero: The weakest in the series. The game gives you basic weapons, and the missions are rather bland. However, it is still fun to play and the ending sets up nicley for the sequel.
Mega Man Zero 2: This game starts strong and keeps it up. The settings of the missions are fun and varied, the bosses are challenging and the grapple hook is fun to mess around with. You also get a sheild/ boomerang type weapon, but it's not that great.
Mega Man Zero 3: This is probably the longest of the games, and it has alot of fun moments. The final boss, in particular, has a very epic feel to it. In this game the special weapons are the sheild mentioned above and a dual laser rod thing. (I forget the name.) If used properly, it allows you to have a long reach and to jump really high.
Mega Man Zero 4: The last entry in the series. This game features a weather system that makes it so it's not impossible to get the bosses special moves. (In the other games, you had to get a perfect rank on the stage, which means not getting hit, speeding through it and using no Cyber Elves.) It also features the Zero Knuckle, a weapon that allows you to steal your enemies' weapons. This is a neat idea in concept, but you'll probably never use it. The enemy only has weak weapons, and they have ammo, so... yeah. Like I said above, this series ends strongly, and it has a great ending.
So, over all, I liked this series. It's nothing spectacular, but if you like well told stories and action games, this is the package for you.