A few details about the game without going too spoilery. I'll still add the spoiler tags.
Alia is going to drive you crazy.
Unlike X4 where you can select either the X game or Zero game here you can select who to play as for each stage and whether X has armor or not.
The intro stage is the first key thing. If you select X then he'll have his X4 Force Armor, but Zero will lose his arm cannon. If you choose Zero he'll keep it, but X won't have the armor for the whole game.
There are two armors to collect now, but you can't use them until you have all the parts.
Rescuing Reploids is introduced here. It's pointless and all they do is award you health and 1-ups.
Dying has no meaning in this game as when you return to a stage after a game over you're put right back in whichever area you died in. This includes the boss hallways.
The stage designs are pretty bad (but it's far worse in the later games)