Mega Man Zero. Four titles full of Nintendo Hard
To specify, the Zero series takes place some time after the X series. A utopian human society, Neo Arcadia, has finally been built, at the cost of Reploid individuality. It's far too easy for any Reploid to be considered a Maverick now, so it's all a small Resistance force can do to avoid being wiped out. Their leader, human scientist Ciel, gets wind of the location of the sealed legendary hero, Zero (now sporting a new and not really improved design, in my opinion), and she goes to release you, and the series goes from there.
The plot, while fantastic in many ways (being even darker than the X series), shouldn't distract you from the make-it or break-it deal for you when considering the Zero series: the gameplay. Dear God the gameplay. The gameplay is... fantastic. Seriously, it controls well, and everything does exactly what you want it to. The issue, as previously mentioned, is the difficulty. This series isn't for the faint of heart. It isn't exactly four Mega Man & Basses back to back, but almost every boss has multiple health bars, every stage is full of spikes and bottomless pits, and if you expect to get through anything without dying, YOU. WILL. PRACTICE. This holds true for every game, to include the fourth.
To make things easier, you can use the Cyber Elf system to boost your health, add combos, and some even eliminate all the spikes in the game or half boss energy. But if you do that, you can kiss your A rank goodbye, and you'll need it if you want the EX skills. EX skills aren't necessary or useful half the time, but I'm a massive kleptomaniac, so the series is torture for me.
Musically speaking, the games are amazing. Some of the best the GBA has to offer. 2 & 4 in particular have really, really goood tunes. Just try and forget "Awakening Will" or any of its variations. Go on, try.
Overall, the Zero series is incredible, but expect to pull your hair out in all but the first game if you want the EX skills. The only really bad thing I can say about the series as a whole is that it has tons of unskippable dialogue. Other than that, grab Zero collection on the DS now. You won't regret it.