Mega Man 2 was the first one I played (used to rent it from local video store whenever my Dad would take me).
Mega Man 3 was the first one that I was able to play extensively and the first one I beat (although I cheated--I used the trick where you put a rubber band on the second controller's right arrow to give you super jumps). My best friend and next-door-neighbor owned it, and he let me borrow it.
Mega Man 4 was the first one I owned. My Dad picked me up from try-outs for the school play when I was in 6th grade, and he had the game as a present for me hidden underneath the seat.
I love all three of those games, and I would be hard-pressed to pick a favorite among them. However, I can pretty safely say that if I could only have three NES games, it would be them. I love lots of NES games--it is my favorite system--but something about those three Mega Man games make them so special to me. The music, the graphics, the characters, the gameplay... just perfect games.