Mega Man is iconic, plain and simple. And one of his best adventures can be found on the PSP; Maverick Hunter X tosses in a few twists, which adds to the traditional side-scrolling goodness.
There's a hidden capsule containing the Hadoken Fireball for X. But you have to get all the Heart Tanks, Sub Tanks and Armor Parts, and defeat every boss to get each weapon. After doing that, head to Armored Armadillo's Stage and make it through the entire level without taking any damage (good luck with that). At the end, run off the flying platform and land above the entrance to the boss and that's where the capsule is.
Also, if you beat the game as X, you will unlock the Megaman X Anime Movie and you'll be able to play as Vile.
Beat the game with Vile, save a Clear Data slot, load the Clear Data, and when you slect your weapons, you will have infinite slots available.