Mega Man Legacy Collection is a game that just recently came out for the 3DS. It's also on other consoles and even PC. I'll give you some information on what is in the game on the 3DS, but all of the versions are pretty much the same.
First of all, if you want to get this game and save money, you can get it from the eShop right now for $15. If you want the collector's edition, you're going to pay quite a bit more but you get a special gold Mega Man amiibo and other goodies like post cards.
This collection contains all of the Mega Man games from the NES library, so you get #1 to 6 in complete form. They contain all of the original glitches, such as in the first game where you can pause during an attack and have that attack keep hitting multiple times.
You are also going to be able to play through an all new challenge mode. Some of the missions include remixed versions of the games. For instance, you can play through part of the 2nd game and there will be a portal after a short section that takes you to the 5th game that you have to clear to beat the challenge. Other challenges include fighting all of a game's bosses in a row as fast as possible. This is probably the main reason most people that like this series will get the game.
There is a museum mode for each game where you can see concept art. You can also go through the music of every title in the game music menu. While this isn't the best rated collection of all time, it's much cheaper than having to buy all of the art in books, the music, and all of the games in handheld format. If you were to buy each Mega Man title from the Virtual Console section of the eShop it would cost you more than you'd pay for the collection and then some!
1 - http://x-bitgaming.com/games/glitches/mega-man-pause-button-glitch/
2 - http://www.bsckids.com/2016/02/mega-man-legacy-collection-comes-3ds-month/