Cheat: Super Jump & Invincibility
Mega Man was not the highest or longest jumper during his 8-bit adventures, all things considered he had some stumpy ass legs.
If you want Mega Man to come stock with a super jump, all you have to do is press right on the second controller. This will even allow him to walk across the bottom of pits.
Heck, let's throw in the invincibility cheat: Jump into a pit, then press Right on the second controller. Have the energy bar go to black and jump out of the pit. You'll remain invincible as long as you do not get any energy. Oh, and Mega Man's arm cannon won't work but boss weapons will.