From a Yahoo! Answers post by user, Quinn:
Mega Man X is Dr.Light's final and finest creation, the most advanced robot in the world, a robot capable of human emotions and self thought. X was found by the leading autority of robotics of his time Dr.Cain. Copying X's complex curcuitry, Dr.Cain and X created the reploids, replicated androids, and ushered in a new age of advanced robots. X joined the Maverick Hunters, a reploid police force that protects the innocent from rampaging reploids who become irregular, or maverick.
X is blue like his predecessor Mega man and uses an X-buster, an advanced arm cannon with upgradable systems that not only allows weapon copying, but also weapon charging with the right upgrade
Zero is the final creation and greatest masterpiece of Dr.Wily, the rival and enemy of Dr.Light. Zero was created to be the strongest robot in the world, and its greatest destroyer. Zero was created with the Zero Virus, a deadly program that corrupts and changes a robot into a mindless destructive machine.
Zero was discovered by a unit of Maverick Hunters who cornered him in an old laboratory and was considered a deadly maverick that destroyed many reploids and corrupted more with his virus. Eventually, Zero was subdued by the most advanced and strongest Hunter, Sigma, and couldn't recall his past or his destructive behavior. He has since joined the Maverick Hunters and under Sigma's training quickly rose to high rank and leader of his own unit.
Zero is red-orange robot with long flowing blonde hair who specializes in hand to hand combat with a beam sabre, he also possesses his own Z-Buster arm cannon. Rather than given the ability to copy and integrate the weapon of an opponent, he instead has the ability to learn its skill
The Megaman X series is a moderately challenging series geared toward mature players.
Megaman Zero is a game series starring Zero, which is definitely geared toward advanced players. It is set 100 years after the X series.