You know, if not for the existence of the Mega Man Zero games, I'd say that this game would be more appropriately labeled by that title. Sure, X and Zero have their own storylines, but there seems to be more to Zero's story than X's. He also has more animate cutscenes than X. That one where he beat the living crap out of Sigma as a Maveric is now one of my favorite cutscenes in gaming.
As for the way Zero plays, although he is extremely powerful, having no projectiles or armor upgrades like X makes fighting certain enemies very difficult. Especially Magma Dragoon, who uses attacks from the Street Fighter games. He is THE most annoying boss to fight as he has no weakness when fighting him with Zero, he's fast, powerful, and unpredictable. Even at the end of the game, when I had to have a rematch with all 8 normal bosses, he managed to kill me multiple times. I'd go as far to say that he's even more difficult to fight than Mega Man X3's bit, who was the king of cheap in my eyes until I fought Magma Dragoon.