I present you the coolest blue robot around : Mega Man.
Mega Man (Rock Man for japanese gamers) starred in six games for the Nintendo Entertainment System. These games were wonderful action platformers build around tight controls, beautiful level design and colorful graphics. The game starts in a non-linear fashion when you choose the levels you'll play in any order. As you beat a level, you add the boss' weapon which can then be used to easily beat another boss. It's all made in a "Rock Paper Scissor" dynamic. The game might look pretty challenging at first, but when you know the best path to choose, the difficulty comes down quite a bit.
The game is wrapped in a pretty classic story : An evil scientist trying to rule the world. That story is made much more appealing thanks to the colorful characters. In the end, it's the gameplay that sets these games apart from others.
I didn't mention the music yet! This series has some of the best music on the NES. The songs will be stuck in your head for a long time after you've turned the console off.
Personally, I'd say the games that are absolutely a must play are Mega Man 2 and Mega Man 3. Play them!
Hit the jump for a video of Bit Brigade playing the whole Mega Man 2 game while someone plays it.