A couple great things I remember early on-getting enough E-tanks for Flame Man, both of which I used to barely beat him. I was especially pleased when, for all that effort, I also got the Rush Armor.
Using the Rush Armor to get all the secret goodies.
Finding the secret entrance in level 1 that led to 4 extra lives.
Finally finding the right area where Proto Man came and gave the Energy Balancer.
Mega Man acting surprised when he found out who Mr. X was (it was obvious in the instruction manual, it was obvoid in the intro sequence, and it was obvious in his sprite). I still can't image how Mega Man didn't know it was him, especially from the previous 5 times.
Fliptop showing up right before the final battle and giving me an E-tank, giving me 5 total.
Using all 5 E-tanks on the final Wily boss. With both of us down to our last hit in the final phase, I shot him with a Tomahawk just a split second before one of his orbs would've landed on me, ending the battle in defeat. I love how Dr. Wily achieved rule over the prison cell as well.