Megaman X8 was actually really good, but that came out years ago and we haven't heard anything since. You can find that game for PS2 and PC, i believe. X8 had the gameplay of the SNES X games, which i was pleased about. It is one of the best in the series, especially past X3. I really wish they would make a new X game for DS or Wii, though. I have the X collection for gamecube, but I would like to see a new game.
I wasn't a big fan of the Zero games. They were fun, but it was like the game was on extreme difficulty mode the whole time. There were instant kill traps everywhere, and the only way to get more health or new weapons was to beat the levels while shooting as few enemies as possible, taking no damage, and never dieing while being super fast. A rating system to determine if you get your upgrades is a terrible system IMO.
ZX seems fun so far. You get new powers and armors, which I enjoy. It feels like a classic X game in that regard. What I don't like about it is the open world exploration. I think that this was a good idea, but was not implemented too well. The sparsity of save points makes getting to and beating a level way more of a hassle than it needs to be. If they put saves at the start of each "level" the game would be a lot more enjoyable. I haven't played Advent yet, so it might be different in that game.