I remember Thad commenting something about sense memories and having 7 Chaos Emeralds in Sonic 3 before Hilltop Zone. I have a similar relationship with Mega Man X.
Chill Penguin
Storm Eagle (collect helmet upgrade, Subtank, and Heart Tank)
Flame Mammoth (collect buster upgrade, subtank, and heart tank, go back to Chill Penguin and get heart tank)
Spark Mandrill (collect heart tank)
Armored Armadillo (heart tank and subtank)
Launch Octopus (heart tank)
Boomer Kuwanger (use the charged Shotgun Ice sled to get the heart tank, go back to Spark Mandrill and get subtank)
Sting Chameleon (get armor upgrade and heart tank)
And then, if I'm feeling saucy, I go to Armored Armadillo and farm extra lives and get the Hadouken, then go kill Sigma. I once killed Sigma's final form with the Hadouken, which is tricky.
I do all this in about 2 hours.