X is the best series obviously.
I like X because, however adolescent in execution (which fits, because X was modeled in characterization concept and in design as a teen), I like the moodiness of the series and the kind of harmless edginess that exudes from the enemy designs, the soundtracks, etc that makes it feel more "serious" than the Classic series. The X series felt like the start of the franchise's look into broader questions about life and society.
I just like X as a protagonist very much, too, no matter how dopey he gets. He continually embraces his turmoil, it's almost like a residual, "learned" behavior from the moral testing from the capsule - he was designed to do the right thing, and be "human" while wielding his humanity in the best way possible, or least destructive way. He has second guessed himself too much but I think he's gotten past that later in the series (Command Mission, which I admit wasn't great in characterization anyway)
The addition of wall-kicking and dashing make the action oriented gameplay more fun and dynamic. The only real problem is that these elements basically eliminate the need for special weapons (why you using special weapons anyway!) but they're still awesome.
While I played all games from Zero and ZX I think Zero makes for too dull a protagonist if the focus is on him too much (and it generally is in the Zero series) and in ZX anything with potential hasn't really materialized into something amazing. The concept of "Mega Man" as an assumed identity rather than as an essence/being built as Mega Man but the series is dunzo. The additional weapons in Zero, while nice touches, were more icing in gameplay than anything you want to consistently use (Shield ex skills in Zero 3 are pretty sick, but they're still not the basis of your offense). ZX Advent just didn't work with all of its forms, while ZX was the same but less bad due to fewer options.