Without derailing the original topic much more, I'll just say thank you Satoshi_Matrix and others for the tips on the Anniversary Collection and the problems it had. But as I said my goal is really only to play the Mega Man games since I never have - I don't really care if the controls, presentation or bonus features are exactly as they should be. Besides I don't have a PS2 or Xbox, and I don't really have any problems with the Anniversary Collection so far, save for the different button sizes, which an SNES controller would fix for me.
It's not really feasible right now for me to try to track down each individual game just so I can play them for the first time especially since I don't have an NES currently, so this collection is the best option for me. Maybe someday I'll track them down, but I wasn't going to do that if I didn't know whether or not I liked playing the series, especially with some of the prices I've seen on eBay. In the same vein, if someone had never played a Mario game and wanted my advice on where to start, I'd probably recommend Super Mario All-Stars for Wii or SNES and then Super Mario World. The SMAS graphics aren't the same as the original, the music is different, and it's certainly not my ideal version of them, but just to play them as a first go at the series, I think it's a very good option. So if I play with an SNES controller and the buttons are swapped, it's really of no consequence to me because I'm just wanting to play them as a non-fan, as opposed to as a fan of the series (where I can understand that the swap would be very frustrating and stupid - as a fan SMAS for Wii was a terrible cop-out and could have been much better). Thanks for letting me know about it though.
That being said, I got in the Mega Man X Collection, and I must say Mega Man X is really fun...

And Wiggy, you just had to tempt me with that mysterious project of yours....
