Now that's something I can answer right on the spot! I've played all four of them and I keep playing them over and over again because they're so awesome!!!! I even went out and got the Megaman Zero Collection for the Ds the day it came out!
Though I have to give credit to the Mega Man X series because if I never played it and right away asked who the cool looking red with the long hair was I wouldn't know Zero.
Zero is by far the best character Capcom ever introduced to the Megaman franchise (Sorry Megaman but hey, your still deeply imbedded into my heart XD).
But it was a great idea how they gave Zero his own little series that sadly only lasted for four games but for FOUR games...I can't even put into words how great the stoyline was.
To me personally my favorite of the four is MMZ 3 and MMZ 2. That's just my opinion of course.