Ensemble Darkhorse: Chao was pretty well liked in the second game, but quickly became the most popular of the main characters in the third game due to having the most personality out of the four.
Homage: The games' heavy tone of sarcasm aside, it's clear that they were created as a loving tribute to the classic side-scrollers of the creator's youth. Even the overly frustrating segments are something of a reference to the fact that many of those older games had overly frustrating segments of their own, as any gamer of the 90s or older can attest to.
Play the Game, Skip the Story: Some players find the story to not be very well-written, but most agree the actual gameplay elements are very well done.
Trolling Creator: ZephyrBurst makes it quite clear in his developer commentary and the names of the various screens in the games that he knows he's being overly difficult in his game design, and doesn't care. There are a few levels that it's clear he included a gimmick just because he knew it would frustrate the players (the tilting screen map titled "You're going to hate me for this room" comes to mind).
The final boss. It may not be as hard as the boss before it, but it is much more epic. Not to mention the hacker battle between Jeremy and Hexor going on at the same time that keeps messing with the stage and Jerry's stats.
Copy X also qualifies, with brilliant music and challenging but manageable attacks.
Also, the constant banter between Jeremy and Hexor in the final battle.
After Jerry has his Internal Monologue at the end of the game, Jeremy breaks the dramatic mood by saying "You suck at monologues."
The Demon Cursor boss fight. Tough as it is, you're still fighting a possessed Windows mouse cursor flinging windows and assaulting you with text while epic orchestral music plays in the background. And just to make things more ridiculous, Jeremy slaps a picture of an anime girl surrounded by sheep onto the background to mess with Jerry.
After completing the four bosses of Metropolis, a gateway to fight 'Mr. X' appears. Since it was Wily's alias in Mega Man 6 games, most people wouldn't think anything of it. Who's the boss? An X clone.
Later parts of the game feature bullet hell attacks that are tough to dodge. The kicker is that these don't start showing up until Jerry off-handedly mentions that he's bad at bullet hell shmups. Turns out the Darkness was listening to that conversation, as it introduces the very next boss with "So, you're not too good at bullet hell?"
Goddamned Bats: Each area has some kind of them, for example, the Hideout has Aero Scanners. Conversed with the 'Moles' (falling drills) of the Mega Man area.
The goofy enemies prevent the first Distortion from being a full-blown Bleak Level.
The Distortion Reckoning would be the stuff of nightmares if it weren't for the humorous banter exchanged by Jerry and Hexor for the entire level.
Scrappy Mechanic: For some, it's the Corridor Cubbyhole Run mechanic of the Secured Data Segment. There are colored wheels throughout the rooms that all have the same color. When the timer on the wheels runs out, they switch to the next color in sequence, and if Jerry isn't inside a zone of the matching color, he takes heavy damage. The below-mentioned "Think and act fast" map is a prime source of frustration, due to the extremely short wheel timers of that particular map.
The map titled "Think and act fast" in the Secured Data Segment. It takes Corridor Cubbyhole RunUp to Eleven, and if you die, you have to start the entire thing all over again. "You have to be quick" a while ago was bad enough, but this... Additionally, odds are you are short on healing items due to the plenty of tough enemies before. Have fun warping out and doing the last few already hard rooms again.
The Interface Screw room in Distortion Windows. The caption says that you're going to hate the author for it, and he's absolutely right. The screen rotates left and right as you move, easily reaching a 90-degree angle and beyond, while the game window (you get kicked back to Windowed Mode if you're on full-screen) moves left and right along with it. Add to that a switch hunt (one of which is guaranteed to end up off-screen and unseeable thanks to the screen rotation,) bottomless pits, lots and lots of enemies that can't be hurt by anything but one element, and the whole "guiding a mouse cursor to move windows to use as platforms" gimmick present throughout the level (while the cursor is rock-stupid and will almost always grab the window you don't want it too,) and it's nigh impossible to finish the room without wanting to punch the author in the face. Right after your neck stops hurting.
Note that this one can be avoided simply by placing down an Earth Shift rock and running against it. As the window tilts left and right according to your movement, even running up against a rock will cause it to change. Window getting too lopsided, just run against a rock for a bit, and you'll sort it out.
Even Better Sequel: Claire is far more mobile and maneuverable than Jerry, and the controls are greatly simplified and streamlined (while the previous game had so many buttons that you couldn't map them all to a controller, which is kind of a problem for a Nintendo Hard action-platformer.)
Breather Boss: After the utter hell that is the Weapons Factory, the next boss the game throws at the player is a giant Blargg, who is significantly easier to deal with than what you just went through.
If you fall to your death enough times in the Koopa Jumping segment of Nightmare Gate A, Claire starts going on a rant for your next several attempts about what happens to the characters when they fall down Bottomless Pits.
Similarly, in the final room of Nightmare Gate E, after a few deaths Jerry will fill the screen with a Wall of Text saying that he's going to force you to die again, just because.
Both Claire and Jerry have a humorous reaction to falling through a Fake Platform in the Vault. It'll likely catch the player off-guard as well.
Claire: That was cheap!
The entire group taking the wind out of Hexor's sails by simply ignoring all of his taunts and talking about inane things over him.
In Sigma's Fortress, Bit from Mega Man X shows up to stop Jerry. Jerry isn't worried though, saying that Bit was a very easy boss. Later, Byte shows up to "do what Bit could not". Jerry's reaction: "BUT YOU WERE EVEN EASIER!"
In Gate 5, in the Maridia section, most players' hatred of water levels is Lampshaded by the Alt Text saying "INCOMING WATER LEVEL!! Oh god, run away from the horrible water level!!", in a room that begins rapidly filling with water.
In Gate 6, when the program begins showing scenes from the protagonists' past, one of them is Claire from when she first fell in love with Jerry. When this one pops up, Claire spams "Nope!" messages all over the screen to prevent anyone from seeing what she said back then.
In the Discombobulated, there's one room where the characters have to use their own text boxes as platforms. Most of them do this with inane blather, but Chao spams messages that just say "Bunnies!"
Continuity Lock-Out: Many plot points and references don't make much sense if the player hasn't completed the previous two games in the series.
Demonic Spiders: CHAOS Rocketeers, which have extremely damaging and highly accurate attacks (one of which can't be dashed through), and zip around in the sky chaotically, making it very hard to hit them. They also usually appear in pairs, and God help you if there's a Healing Bot with them as well.
Downer Ending: The heroes are successful in saving the world, but due to a few Diabolous Ex Machina events right at the end, Jeremy, Jerry, and Claire are all killed in the Warship's explosion. Chao is the only survivor, left heartbroken at the loss of her brother and best friends, and she disappears shortly afterward, wandering the world without telling anyone where she's going.
In town, there's a certain NPC that always starts a little cutscene when you talk to him, instead of just displaying a text box like normal. If Jerry dashes past him, and you press up, you'll pause and stand still mid-dash for the cutscene (with Speed Echoes still on screen), then resume your dash where it let off when it ends. Guess talking really is a free action.
The Geemers in the Metroid Gate have the same glitch they had in the original Metroid 1: they get stuck tumbling in mid-air if the platform they're on is destroyed. They have a similar silly animation when moving down slopes, though they don't get stuck there. This looks hilarious, so Zephyr never bothered to fix it.
That One Level: The Water Temple in Gate 2. It is a labyrinthine dungeon full of complex water-shifting puzzles that can take a very long time to fully wrap your head around. Reading the Dev Comment in the skull fish enemy scan reveals that this is exactly what was aimed for.
The CHAOS Weapons Factory, full stop. It begins with a stealth section with tight enemy placement that requires the player to finish each room without detection in order to earn some items (not to mention getting detected certainly means death via CHAOS Seeker. After that is a demanding gauntlet of bosses, puzzles, and rooms full of Demonic Spiders that will most certainly kill the player over and over. It also makes heavy use of Jerry's Strike Chain.