Author Existence Failure: A very unusual case. Fans feared for years that Keiji Inafune, who had been lobbying his superiors at Capcom for years to let him do a third game, would either leave Capcom or retire before he could pull it off. The trope was seemingly averted when, ten years after Legends 2, Inafune finally announced that development for the sequel was underway. A month later, Inafune left Capcom. Development of Legends 3 has continued without him, but considering that the game still hasn't gotten the final greenlight for production, there's still a possibility that the trope might end up getting played straight. As of this announcement, the trope has indeed been played straight. (By its cancellation, not Inafune's death as in most cases of the trope, thank goodness.)
Crack Is Cheaper: The Misadventures of Tron Bonne. Good luck finding the original for under a hundred dollars. For a while, it seemed unlikely to get a digital rerelease, as the rights for a song supposedly expired. Now it's available on PlayStation Network in North America for $6.
Cross-Dressing Voices: The first game had Mega Man voiced by male VA Corey Sevier, but the second game the voice was given to Susan Roman, who voiced Mayor Amelia in the first game.
In many reviews of the second game, this voice change was a constantly-brought-up complaint - not because the voice acting was bad, but because at the time no one knows why it was changed. The original VA was only 14 when the first game came out. Apparently his voice changed too much between the first and second games for him to be viable and/or they wanted a VA who would be able to do his voice consistently.
In the wake of Legends 3's cancelation, the fanbase has taken up several translation projects on their own, including a full translation with voice acting of Rockman DASH: Big 5 Island Adventure. Rock's voice is done by Head Admin of the Legends Station forums, Dashe, a young woman who sounds so much like Corey Sevier from the original Legends that it's scary. It can be watched here.
Keep Circulating the Tapes: For a while, the first two were very rare games, due to never being re-released in the West and being for the original Playstation and N64 which meant they were hard to find in stores. Their release on the Playstation Network has finally absolved the series of this status.
Several side games released on mobiles, notably Rockman DASH: 5tsu no Shima no Daibouken!, Rockman DASH Golf, among others, have never left Japan.
The Misadventures of Tron Bonne, a rare game that very often fetched for hundreds, was finally re-released on the PSN, allowing you to enjoy the title for a far cheaper price... unless you lived in Europe. Similarly, no European release date of the long awaited PSN version of Mega Man Legends has been announced so far. Fortunately, you can somewhat get around this by making a US PSN account, which allows you to buy off of the US PSN store.
The Other Darrin: Corey Sevier was Mega Man's voice in Legends 1. He grew up, with his voice significantly changing, so he was replaced by Susan Roman in Legends 2.
Rule 34 – Creator Reactions: Hideki Ishikawa, the game's official character designer actually made Rule 34 of the game's female characters, much to Capcom's dismay.
Screwed by the Lawyers: The major hurdle that kept the games from being released for digital download was legal issues. First, Capcom supposedly lost the rights to the voice acting over the years, and second, the original Legends has vending machines that depict a real-life beverage in Japan that Capcom had to pay licensing rights to use. Sony does not allow developers to change the source code for releases of games on the Playstation Network, so Capcom had to find workarounds for these problems. Come 2015 they finally got the first game out, with speculation going that the price ($9.99) is a bit higher than other classic games because they decided to just bite the bullet and pay for the beverage IP again, and the higher price is to pay the fee.
The Old City power plant in 1 holds absolutely nothing of value, save for some very subtle foreshadowing that the Bonnes are building a robot nearby (a worker at the plant says they're having a mysterious power drain from the city). Rumors abounds about some secret in the power plant when there's apparently no point to it. The Old City itself isn't much better, as aside from the Bonnes and Bruno, nothing of importance happens here, either, making it a whole sector of the city with apparently nothing in it. Hmm...
Gylde's base in 2 has the description of the main gate say "you'll need something stronger than the Buster to break this gate down." It's a hint that you have to take the side door into the base, but as most players will probably notice that and do so in the first place, they probably missed the gate description and are going to wonder how they can destroy the gate to re-enter the destroyed base.