I've been a really big Mega Man fan for a long time, actually. I've been into all of the Mega Man series, including odd ones like Legends or Battle Network, but alas there are many games (especially in the Classic series and ones after X) that I have not played.
My favorite game is probably Mega Man X4. Sure,
the voice-acting is terrible, but it's so bad it's actually pretty awesome. :bleh: And the gameplay is great. Zero was an awesome addition (and funner in this game than he was in any subsequent ones, including his weapon selection). Best overall X series game in my opinion, and the X games are my favorites.
Legends is also REALLY good. Both Legends 1 and 2, though I haven't played Misadventures of Tron Bonne yet. But great story, and very interesting gameplay that's awesomely Zelda-like. Also, the original legends legitimately spooks me. Lake Jyun was really scary. Eagerly awaiting the new Legends game on the 3DS.
In answer to your X9 question though, I'd actually say absolutely not. The series was supposed to end as X5, and you can tell. The secret ending where X is brainwashed by Wily is the perfect setup for the Zero games, but Capcom wouldn't let them end it so they had to add onto the story. Now the whole New Generation Reploid thing from X8 seems to be what's supposed to lead into Zero, and it's way less impressive.
If they add onto it more, I think they'll just ruin the story more. What I think they should do is start a new series, very similar to X maybe, which could be a sidestory, or not. Doesn't really matter which (although I think sidestories not connected to the same universe is a good idea. You know, stop with the whole Classic -> X -> Zero -> ZX thing. It's long enough now.
)
And also, music is awesome. I have a lot of favorites from the series. Such as:
Launch Octopus:
http://www.youtube.com/watch?v=rDiy_a53mMI
Jakob:
http://www.youtube.com/watch?v=gnSQItdHIfM