6. Some challenges are B.S., and it's OK to cheese them
Look, the NES Mega Man games were created a long, long time ago. The most recent of the bunch is 22 years old. Video games were the wild west back then, especially when the series debuted! Developers were still just figuring out how things even worked. So you can forgive them for the fact that the ideas they crammed into those games didn't always work as intended.
The floating platforms in Ice Man's stage. The Yellow Devil. The disappearing block gauntlets, especially in Heat Man's lair. That stupid penultimate boss in Mega Man 2's Wily stages, which requires precise, economical placement of Crash Bombs with no room for error. The Doc Robot stages in Mega Man 3, which were a mix of inventive coolness and total cheapness. Pretty much the entirety of Mega Man 4. And so on.
These imperfect elements drag down otherwise exceptional games, and in the cold light of retrospection, they don't hold up well. If you find them particularly irksome, well, that's understandable. And if you decide to cheese them and take an easy way out, like the Yellow Devil pause trick or skipping most of Heat Man's level with Item-2 (or Quick Man's level with the Time Stopper), that's totally fine. Some of those choices were even accounted for by the level designers — completing the Quick Man laser gauntlet au naturale is a great party trick, but Capcom dropped a ton of weapon refills along the way so you can basically skip the whole thing by freezing time.
Remember, they're games. They're supposed to be fun. So have fun playing, however you manage it, and don't let anyone tell you otherwise.
7. E-tank tradeoff
Mega Man 2 introduced E-tanks, special items you can collect in the course of the game to allow poor Mega Man to recharge his health if he takes too much of a beating. He could collect up to four at a time, which comes in especially handy against final bosses. But: E-tanks don't carry over when you continue. The tradeoff, however, is that your special weapon energy only recharges completely when you continue. So you could easily find yourself at the end of the game against a bunch of tough foes with plenty of E-tanks in hand and a deficit of weapon energy. It may be tempting to just burn through your stock of lives for a recharge, but don't just give up. Use those E-tanks while you can, in classic roguelike style.
8. Mega Man 3's super jump
One of the weirdest undocumented features in a Mega Man game came in the form of Mega Man 3's "super jump," which has admirably been reproduced in MMLC. This was evidently a debug feature that allowed you to hold Right on the second controller in order to cause Mega Man to perform an impressive screen-high leap — even out of pits. Of all the ways to cheese these games, this one's the most fun... provided you have a second controller and someone willing to hold down the D-pad for you.
9. After Mega Man 3, Robot Master weapons became basically useless
Mega Man 4 made the tragic mistake of introducing the Mega Buster, an upgraded arm cannon that allowed Mega Man to charge up his attacks for extra power. A good idea in principle, the Mega Buster ended up being so powerful and so versatile that it undermined a basic tenet of the series: Swapping weapons on the fly and making use of all those special abilities you gained by stomping Robot Masters. You can't remove the Mega Buster from Mega Man (at least not until Mega Man 9), but you can choose not to use it and make a conscious effort to keep the series' spirit alive throughout its darkest hours by using the special weapons in Mega Man 4-6 for something other than just fighting bosses.
10. Mega Man 5 is good, but it added auto-scrolling to the series
I never cared for Mega Man 5 until recently, but I've seen the light. However, the game does include Wave Man's stage, which features an auto-scrolling vehicular segment. This means Mega Man 5 is directly responsible for the worst element of the Super NES and PlayStation Mega Man and Mega Man X sequels.
As such, you are still allowed to hate Mega Man 5 despite its overall quality. You're only human, after all.
Images courtesy of VGMuseum