I have such good memories of this series, although I didn't get it into it until way after their release, three years ago or so. Before that, I always liked the X and ZX series better for their more accessible difficulty.
One thing I really enjoyed about the Zero series is how concretely it tied itself to the X series. Unlike Classic -> X, the story went out of its way to tell us what happened in the intervening century. The story of The Elf Wars, Omega, and Dr. Weil unfolded nicely across the first three games, and was a huge step up from Mega Man's previous "lol, here's Wily/Sigma... again!" tendencies. I also liked the more oppressive atmosphere, heavier music, and faster action - it fit Zero, who was always a bit more "hardcore" than X. The only thing I didn't end up liking from an aesthetic perspective was the art style. It's a bit jarring to think that this little skinny humanoid Zero is the exact same guy from the X series, even though he looks completely different. I much preferred his bulky design from the X series.
I also didn't like how you could fail missions permanently in the first game. Capcom thankfully realized this was an unpopular mechanic and removed it in the others. Only getting skills from higher ranks made it so that I only ever got skills from a boss or two, as I could never really master or even get the hang of the ranking system.
I still listen to the soundtrack.
