As far as I know, these are the only 100% confirmed/obvious connections between Classic and X:
*Light developed X, Wily Developed Zero
*Wily obviously didn't intend for Zero to become the do-gooder he ended up becoming =P
*Light put X in a capsule around the end of his life, feeling the world wasn't ready for him yet, not sure if Rock and Roll and the others were still functioning by then. Dr. Caine found X, perhaps prematurely, perhaps not
*Zero was also sealed in a capsule, likely by Wily himself, who knows.
*Zero and Classic Megaman likely met at least ONCE (Zero's flashback in X4's intro)
* Both Dr. Light and Wily SOMEHOW managed to mantain a form of semi-consiousness, Light through his many Capsules and Wily through other means (Zero's diolouge with Sigma in X5 pretty much confirms this, but we never see exactly how...)