It was the first evolution of the X's series
The thing that I loved the most about Megan man X 4 was the fact that you could use Zero as your main character. I think that is something that Mega Man X series fans wanted since they first saw Zero blast Vile's Goliath armors arm on Mega Man X. This game was a step up to the already amazing series in every way possible. The graphics are still awesome today. It kept the 2D concept of the previous games but with more details. It was the first of the series to have conversations with the bosses.
I can't leave out that it was the first (and sadly the only) Mega Man X series with anime clips. The intro was awesome and my personal favorite clip was the Zero vs. Sigma fight. I still don't understand why they didn't do the same with X5 and X6 but that's for Capcom to decide