Ass Pull: Dr. Remir being an alien from a planet that was destroyed by evil energy. While him turning out to be evil was fairly obvious to the player, there's next to zero foreshadowing that would imply that he's not from this world, and when he does reveal himself, the first thing the player would expect is for it to be a hologram like Mega Man 2's final boss.
Goddamned Bats - The Laffic Trites annoy you by freezing you in place until you either take a hit or their lights turn green again.
Good Bad Bugs - Mega Man suffers from various color glitches in various levels, sometimes this is good because for some odd reason it makes him invincible longer in Ghost Man and Blaster Man's stages.
Another one occurs in the final stage. If you're playing as Bass, when Proto Man gives Bass the Ion Blade, if you use Treble Boost when entering the screen and are up too high, the Ion Blade will actually miss Bass and go flying offscreen. This makes it so that the necessary dialogue to progress the scene doesn't appear. Granted, it makes you restart, but it's still hilarious.
Nightmare Fuel: The final Sondebar Base stage. It's jarring to go from fighting robots in factories all the way to fighting Contra-esque alien monsters in a rather detailed and monstrous fleshy cave. The enemies are also very resistant against your weapons, adding a feeling of hopelessness until you finally get the Ion Blade. The worst part: Unlike a similar level in Rockman 4 Minus Infinity, this is not an illusion.
Also the final battle is similar to the Mega Man 2 final boss, which is also not an illusion.
Obvious Judas: Raise your hand if you had guessed that Dr. Remir was evil upon first seeing him.
So Okay, It's Average: The game's soundtrack in general. This is one of the things the Sprites INC build intends to fix.