Mega Man ZX is the product of the Mega Man X series and the Mega Man Zero series having hot, sweaty sexytime. (In fact, that's where the ZX name came from. Genius, Capcom. Pure genius.) The game takes place 200 years in the future of the Mega Man Zero universe, and tasks you with gathering special biometals that add special powers to your character. So, y'know, not unlike previous Mega Man games.
FUN FACT: MMZX was the first game in the series that allowed gamers to play as a female character. Mega Woah-man.