My favorite depends from game to game, but if I had to pick my ALL-TIME favorite, I'd probably have to say Mega Man 3's Shadow Man.
In case you're wondering, here's all my favorites from each game:
Mega Man 1/Powered Up: Elec Man
Mega Man 2: Quick Man
Mega Man 3: Shadow Man
Mega Man 4: Pharaoh Man
Mega Man 5: Star Man (Used to be Gyro Man)
Mega Man 6: Tomahawk Man (USA!)
Mega Man 7: Turbo Man
Mega Man 8/and Bass: Tengu Man
Mega Man 9: Tornado Man
Mega Man 10: Nitro Man/Solar Man
Mega Man 11: Fuse Man/Blast Man
If we're adding fangames, then I'll add:
Mega Man Unlimited: Rainbow Man
Mega Man Rock Force: Crypt Man
Mega Man Rock 'n' Roll: Reactor Man