Edit:
As for a list of Mega Man/Rockman games on Nintendo systems:
- Mega Man/Rockman - FC/NES
- Mega Man 2/Rockman 2: Dr. Wily no Nazo - FC/NES
- Mega Man 3/Rockman 3: Dr. Wily no Saigo!? - FC/NES
- Mega Man 4/Rockman 4: Aratanaru Yabou!! - FC/NES
- Mega Man 5/Rockman 5: Blues no Wana!? - FC/NES
- Mega Man 6/Rockman 6: Shijousai Dai no Tatakai!! - FC/NES
- Mega Man 7/Rockman 7: Shukumei no Taiketsu! - SFC/SNES
- Mega Man & Bass/Rockman & Forte - SFC/GBA (Japan only until ported to GBA)
- Mega Man: Dr. Wily's Revenge/Rockman World - GB
- Mega Man II/Rockman World 2 - GB
- Mega Man III/Rockman World 3 - GB
- Mega Man IV/Rockman World 4 - GB
- Mega Man V/Rockman World 5 - SGB
- Wily & Right's Rockboard: That's Paradise - FC (Japan only)
- Mega Man's Soccer/Rockman's Soccer - SFC/SNES
- Mega Man Anniversary Collection - GCN/GBA (GBA version was canceled; was going to be a compilation of the 5 GB Mega Man titles, AKA the Rockman Worlds. US only. Includes Mega Man 8/Rockman 8: Metal Heroes, which was previously only on the Sega Saturn & Playstation. Also includes Mega Man: The Power Battle/Rockman: The Power Battle & Mega Man 2: The Power Fighters/Rockman 2: The Power Fighters, which were previously only in arcades.)
- Mega Man X Collection - GCN (I mention this because it includes Mega Man: Battle & Chase/Rockman: Battle & Chase, which was previously only on the Playstation.)
Mega Man/Rockman apparently makes cameos in:
- SvC: Card Fighters DS - NDS
- Mighty Final Fight - FC/NES
- Auto Modellista - GCN
- Street Fighter Zero 3 - GBA
The only one out of those 4 that I've played is SvC: Card Fighters DS, so it might be a different Mega Man/Rockman in the other 3. Regardless, this is a pretty big list of Nintendo games in which to have starred and cameoed. I count 17 excluding the ones that are only cameos.
Edit 2:
I asked a friend of mine, & apparently Auto Modellista's Rockman cameos are Battle Network/EXE & Legends/DASH. He said Mighty Final Fight & Street Fighter Zero 3's cameos are of the original Mega Man/Rockman, though.