Megaman X, the SNES original, is a great starting point. X2 and X3 afterwards will offer significant challenge even after you master the first game. X1 has the best music of the 3.

If you go for the NES classics, I personally find 6 the easiest. It also has some absolutely amazing tracks, like Tomahawk Man’s stage. 4 and 5 are weak points, in my opinion.