Since Mega Man and Sonic were under the same publishing roof for a while and written by the same person, we got to enjoy TWO big crossovers between the franchises (and the second one then brought in all kinds of Capcom and Sega goodness). The first crossever, Worlds Collide, came out in three trades and then one large omnibus, which is what I bought. The first two trades of the second crossover, Worlds Unite, came out before Archie dropped the ball and I had to buy the remainder of the series as used single issues.
It was fun seeing how characters from one franchise deal with characters and aspects from the other, like seeing Sonic struggle with the disappearing blocks from Mega Man games, or how the alliance between Eggman and Wily eventually deteriorates. Good times.
I have one of these crossover comics where other Capcom characters join Sonic and Mega Man. When Guile says "Sonic Boom!" all the Sonic characters have awkward looks on their faces!
There are a lot of great moments 
nothing like a good old fashioned cosmic team-up!
Pan-dimensional! Or...something...
Sonic X Megaman. Could be a game.
There is probably a fan game like that somewhere!
I'd play it. I'd even blue myself while playing it.