That can range from how persistent Wily is to the idiocy of the covering storylines.
I'll just list the games I've played in full, so not MM8-10:
MM: No storyline really in-game, but the thing about having Mega Man unconverted but Cut Man thru Elec Man converted = ......
MM2: DR WILY HAS REVENGE. YAY.
MM3: Apparently Wily 'works' with Light re activating Sigma, but not mentioned in-game so I assumed Wily was evil.
The end of game 'demise' was kinda funny (not that Proto Man ever knew
) - oh, and Proto Man = =).
MM4: Cossack didn't appear as much of a threat.
Wily's blackmail is just... base.
MM5: the Mega Shows thought Proto Man was evil b.c. of this game. TBH I can't see why Proto Man would build robots to do his bidding
MM6: Mr X = how boring. Worst cover identity ever.
The tournament also sucked. 
MM7: Don't know why there aren't robot proof jails.
Bass's appearance was half confusing, but the 'betrayal' was well played. Ending was classic.
I'll just list the games I've played in full, so not MM8-10:
MM: No storyline really in-game, but the thing about having Mega Man unconverted but Cut Man thru Elec Man converted = ......
MM2: DR WILY HAS REVENGE. YAY.
MM3: Apparently Wily 'works' with Light re activating Sigma, but not mentioned in-game so I assumed Wily was evil.
MM4: Cossack didn't appear as much of a threat.
MM5: the Mega Shows thought Proto Man was evil b.c. of this game. TBH I can't see why Proto Man would build robots to do his bidding
MM6: Mr X = how boring. Worst cover identity ever.
MM7: Don't know why there aren't robot proof jails.