In the OVA Day of Sigma, it shows X going into his 100 Year Stasis. During this, Dr. Light is critically wounded, and dies shortly after sealing X.
Since Light did it to ensure X's reliability, this could mean he's seen what reploids are capable of first-hand, probably in the form of Zero. Since Zero started as a Maverick, and Mavericks naturally hate humans, then it can be assumed that Zero probably killed Dr. Wily. I really can't say if he killed, wounded, or left alone MegaMan, ProtoMan, Duo, Roll, or Bass, but since they have no appearance in MMX (And they should probably be somewhat immortal, being machines and not human.) it can be assumed that Zero was Wily's most successful creation.
And I can connect MMX to MMZ. Area Zero in MegaMan Zero4 is the crash site of the Eurasia Colony from MegaMan X5. I thought that was a cool reference, as most MegaMan series don't direct mention of past series.
And Ciel is in MMZX, os that's apparently connected somehow.
So MMC, MMX, MMZ, and MMZX are all connected. Legends is debateable, but I remember Inafune saying it was a very distant future to the other series'.
And here we go with the Wikipedia Article:
According to the sourcebook, Rockman Perfect Memories, the Legends series takes place after the X series (or, more logically, the Zero series, and now, ZX). Some have even speculated on such a connection based on comments in the X series; most notably, the use of the word "Elysium" (with a capital E, indicating it is a proper noun) in one of the endings of Mega Man X5. Other examples include the frequently-seen Reaverbot eye symbols that appear in Hyleg Ourobockle and Burble Hekelot's levels in Mega Man Zero 2 and Hanumachine's level in Mega Man Zero 3. There also appears to be a Quantum Refractor in the background of Cubit Foxtar's arena/boss room in Mega Man Zero 3. Another fact worth mentioning is that many enemies (almost exclusively the small flying enemies) bear a red eye that is extremely similar to the Reaverbots.
There has been some speculation that one of the main characters in Mega Man ZX named Girouette may be the Master from Mega Man Legends 2, although this is rather unlikely, as Giro dies during ZX. However, the character of Zero (and possibly, any incarnations thereof) are known for cheating death many times during the X series, so there might be a small chance of this being true. Another spectulated character is of Vent being the MegaMan from Legends. They have the same hair and eye color (though all MegaMans have green eyes), and we know that the MegaMan from Legends had lived for hundreds, if not thousands of years before the story of the games occurred. Meaning that the age setting from 24XX to the 5000's (or 8000's as most fans believe the time period to be) would 'seemingly' match up. This would also seem to explain the close relationship between the Legends MegaMan and the Master as this would make the both of them the last (biomechanincal) humans left.
Another speculation relating to the time period of the games has to do with the term "Halcyon Days." The Halcyon Days in Egyptian Mythology were calculated to take place sometime during 9th millennium A.D., which in Mega Man terms would be written as 8XXX.
If you take a look at the Model W Core during any cutscene, anime or sprite, it is important to note that it is covered, in various places, by the eyes similar to the Reaverbots in the Legends series. The Model W Core also has what looks like a stitch-like mouth, also related to that of the Reaverbots.
Another is where, in Mega Man Legends, reploids have already increased greatly in population and that Mavericks still wreck the world, though not all of them are of the combat type.
Interestingly enough, Purifer Units in the Japanese versions are called Irregular Hunters (Maverick Hunter). However, the fact that the Irregular Hunters in the DASH, formally (but not necessarily) the Zero series and the X games are the same thing is speculation for now. Also, the world of Terra is called Earth in original Japanese version. (This was carried from Mega Man V for the Game Boy.) Even more interesting, Elysium in the Japanese version of Mega Man Legends 2 (Rockman DASH 2) is actually called "Heaven".