Just got this last night for PS3. It's a LOT harder than MM2. It's not so much what you're doing, but the fact that they throw so much more advanced stuff at you right out of the gate. With Mega Man 2, I hadn't played that game in 20 years yet I was able to sit down and beat Wood Man after about a half-hour of playtime. In MM9, I didn't even make it to a boss after a half-hour - in fact, after about an hour of playing I was still in the "Holy crap this level is hard, let me try one of the other ones" phase.
With MM9, there's a whole lot of "are you kidding me?" that goes on. It reminds me of the NES Ninja Gaiden games, in which you need to pretty much memorize enemy placement in order to beat levels. This requires a lot of trial and error. MM2 doesn't require this type of memorization.