Mega Man: Elec Man
A challenging stage, to be sure. Worth it to complete, not only for Thunder Beam and the pause trick shenanigans to be had with that, but also the Magnet Beam.
The music grows on you, as well.
Mega Man 2: Bubble Man
I loved that stage. The platforms are fun to try to hop across without them falling. The frogs and the crabs can be tricked. It's not too hard to get the jumps correctly, even with the clear-domed robots coming down around you. Bubble Man has an unexpected weapon which becomes not only one of the most useful during a certain Wily stage, but critical to complete the game with.
Mega Man 3: A tough choice, to be sure. I always started with Magnet Man, but always looked forward to Snake Man's stage, even though I never had Needle Cannon by that point. Magnet Missiles were generally more useful than Search Snakes, except for the final boss. Yes, I would use Search Snake instead of Top Spin, originally. I think I will have to pick Magnet Man, since that stage contained Proto Man as well as magnet mechanics.
Mega Man 4: Pharaoh Man. The stage had bubble bats and mummies. The platforms on the spikes were fun, unlike the flying kind from the first Mega Man. Pharaoh Shot was fun to use and the stage also contained the balloon adapter.
Mega Man 5: Wave Man easily stands out from the bunch. The only other one I would consider would be Charge Man. With Wave Man, we got a bubble platform segment which was interesting enough to be reused in Mega Man 9 and the jet ski segment, yet the also worked in a tube travel system and a steam obstacle by not placing the stage underwater. Wave Man was also memorable for being able to block plasma bullets with water and then skewer you with a harpoon. No one else had a harpoon.
Mega Man 6: Centaur Man, for having the game's water stage in the most unexpected way: water coming down from the ceiling you had to jump into to cross gaps before it receded. Centaur Man also provided a screen clearing weapon, which was a bit of a let down from the Robot Master's own ability to teleport, but I still wanted it.
I haven't played Mega Man 7, 8 or Mega Man & Bass very much (I don't even own a copy of Mega Man & Bass, just tried a ROM once and not for long) as these are my least favorite from the series. So I'm just going to pick one Robot master from all three. Shade Man. Ghosts 'n Goblins easter egg, robot zombies (pre-Roboenza), robot werewolves, and Count Wily.
Mega Man 9: Splash Woman. Her stage is a bit derivative of other water stages, but it still had its own spin even at this late age. Adding enemies swimming at you during the Wave Man bubble segment, a puzzle with platforms which would disappear when they ran out of water, and an enemy with the ability to cover Mega Man in ink for the rest of the stage. Laser Trident is rad.
Mega Man 10: Given my bias towards water stages, you might think I would pick Pump Man. You might be wrong. I actually prefer Nitro Man. The traffic theme to the stage is interesting. The countdown timer bombs don't quite fit with that, until you realize that they force you into gameplay that's best described as stop-and-go. Nitro Man is able to turn into a motorcycle that climbs walls. With the Wheel Cutter, you can climb walls too, or use it like a version of Bubble Lead which also blocks Commando Man's projectiles.
The only Mega Man game for the Game Boy which I own is Mega Man III, but I never finished the first four bosses. I didn't even know what a Mega Man Killer was until MS Paint Masterpieces.
But from Mega Man 10's special stages, I will pick Punk.