I just finished listening to Act 1 in order, while reading the lyrics and I finally get it.
Holy shit this is deep. This is the darkest video game based music I have ever listened to.
The basic story is as follows:
In Act I, the band's first album, Dr. Wily is represented as an Orwellian ruler over a dystopic City, full of humans who are too cowed to stand up to his control. Dr. Light creates a "perfect man, an unbeatable machine", Protoman, to fight to free the City, but Protoman is destroyed by the overwhelming power of Wily's armies. Defeated and despairing, Dr. Light then creates a second son, Megaman, who he attempts to dissuade from battle. Megaman runs away from home, confronts his brother in an apocalyptic concluding battle, and finally turns his back on the city, having convinced himself "there are no heroes left in man".
That's the wikipedia entry though, and not entirely accurate.
This is some intense and powerful music, given that it's based on Megaman. I like it.