Man, this thread really took a dive over the last few days. Seems to be getting a little better, though. Hopefully the 3DS version coming out for everyone else in a couple days will help, too.
If there's anything I should be doing with Mega Man, I'll try it if you tell me.
Constantly pressure your opponent and control space with Metal Blades and Crash Bombers. If you're not fighting up-close, you should be using these moves.
Metal Blades do more damage as a thrown item (throw diagonally downward into the ground, pick up, and throw them that way) than they do otherwise. This takes longer to do, though, of course.
Don't just throw out random smashes. All of Mega Man's smashes are powerful but have crazy cooldown time, making them easily punishable. Only use smashes when you're completely sure they'll hit or are completely sure you won't get punished if they don't (which is almost never).
Master Mega Man's air game; it's where he shines. Three of his air moves (forward, back, up) are some of the best in the game, and one of them isn't but is great when you can land it (down). Flame Sword (fair) has a wide range, does decent damage, and is pretty much unpunishable. Slash Claw (bair) does good damage and launches quite a bit but is harder to land. Air Shooter (uair) is great for disrupting your opponent's air game, does good damage, and launches vertically at higher percents, often enough to KO off the top of the screen. Hard Knuckle (dair) isn't as good as it should be as its range is limited, but if you can get good with it, it does have a meteor effect if you land it right next to Mega Man (right as it fires out).
Use Slide and Top Spin (dash) to approach; both are some of the better crouch and dash attacks in the game. Mega Upper (up tilt) is a good kill move but can be punished, so be careful with it.
Don't sleep on regular buster shots. They can rack up damage surprisingly quickly and are great for interrupting your opponent's attacks (they do make opponents flinch) and just generally annoying people and forcing them into doing something that you can punish.
Mega Man's safest smash is Spark Shock (up smash), but that doesn't mean it's safe. Again, be VERY careful when using Mega Man's smashes. You can't just throw them out there like you can with a lot of characters.
Several good combos to try: Down throw -> Mega Upper, down throw -> Flame Sword, Top Spin -> Flame Sword (I love this one, even better if you can catch them with Air Shooters as they try to recover), Slide -> Mega Upper, up throw -> Air Shooter.
I'm still learning and working on my game with him, but I've gotten to the point where I can either usually win or at least only lose by a smidge when I play against random people online.