I just beat Mega Man 3 (NES -- part of Mega Man Anniversary Collection (PS2)) -- 6/10 Took me a little over 4 hrs to beat.
After now playing through the first 3 entries, it's pretty much set that I dislike this series. I didn't dislike this one nearly as much as the first two, but I still didn't have any fun with it. You'd think that Mega Man would be able to shoot in a direction other than horizontally by now, as well as have the ability to crouch to be able to hit those enemies that only come up to his waist. I don't like how you don't regain the weapon energy when you die, since there are a couple places where, as far as I can tell, you MUST use one of the dog's abilities to advance past the starting section, so if you don't have any energy for it, you'll have to reset since you literally won't be able to progress. I don't know if it's a good or bad thing that you can defeat quite a few enemies by just scrolling them off the screen. The stages are all very short, so at least it's not too annoying having to redo them if you have trouble against a boss, run out of lives, and have to redo the entire stage. With this collection, you can cycle through the weapons with the shoulder buttons, but you can't cycle into Rush's abilities, but can cycle out, which is annoying since you have to deal with the weapon selection menu to use them. Speaking of Rush, is there any use for Rush Marine? I never used it once.
Mega Man only shoots horizontally, but other characters in the series are capable of shooting in all directions such as Bass in "Mega Man & Bass" and Axl in Mega Man X8. Mega Man (actually X) can crouch in Mega Man X5 and Mega Man X6. About recovering the energy of a weapon when you die, this happens in some games like Mega Man 8. Well, Rush Marine is not essential that you use it throughout the game, but its greatest use would be in Gemini Man's revisited stage in the water zone or in the battle against the Doc robot (Bubble Man).
You could try playing the Mega Man X games. Theres wall jumping, the dash is a standard move, the games are faster in general. You can upgrade your armor (only X) for new abilities like air dashing or hovering, and some games have further upgrades. ---