MM canon?
Seriously, this is all you need to know:
MM: It's Dr. Wily. Again.
MMX: Zero dies in every other game. And look, it's Sigma. Again.
I'm sure if it hasn't been mentioned (possible spoiler?) that the Sigma Virus will turn out to be Wily's soul, so technically it has always been Wily.
I'm totally guessing here but I wouldn't be surprised.
I kid, though. There are some convolutions in the storyline in other regards in the MMX games, though sadly they haven't been all that memorable. It's, like, look, Bamboo Pandemonium, I don't particularly care about your space rocket fetish, I just want your Green Spinner so I can move on. And then all that Zero Virus/Sigma Virus stuff. Look, let's just mix in some Resident Evil T-Viruses while we're at it.
I do, however, recommend Mega Man X: Command Mission. That was that Mega Man X RPG on the GameCube and PlayStation 2. It sure is a breath of fresh air to change the genre. All those eight billion people that complain Mega Man is stale have to play that game before complaining again. You can't say Capcom doesn't change when you don't support them when they do try new things. Those same people should pick up some Killer7 while they're at it, even if Capcom was only the publisher.
Also, I want to know if it's spelled "Mega Man X2" (no space) or "Mega Man X 2" (with a space). "Mega Man X 2" makes more sense to me...after all, you don't stick other sequel numbers right to the name (and Killer7 is not a sequel, BTW). "X 2" implies a sequel to the first in the X series, which is distinct enough from the original Mega Man. If it wasn't, then I could understand "X2" as being another entry in the Mega Man series, which it is, but also isn't, since X is separate enough. It's 100 years later with different characters! They even refer to Mega Man X more commonly as X, regardless of whether or not he was built from the original Mega Man!...ramble ramble words words words