Zero 1 was hard. Honestly I hadn't played a 2D game much like it. Even the X series seems slow in comparison. The first Zero without any experience proves a challenge. The levels aren't really so hard, and most of the boss fights were fairly easy, however the weird save system made the game a little obtuse.
Zero 2 was hard. That's just the bottom line. Challenging stages, challenging bosses, and I have never been, but I heard the final gauntlet makes some of the more hardcore 2D platformer veterans cry. But the game is pure brilliance in terms of both gameplay and technical.
Zero 3 is challenging, but still relatively easy. The weapons you gain work almost a little too well on enemies and the final gauntlet is pretty easy. The final boss is a trial, but Zero is so juiced up at the end it takes only a few tries. I actually did finish this one.
Zero 4 is harder than 3, but easier than 2 and 1. 4's envrionmental stuff made it a little bit harder and I think the bosses are a little bit harder but thats all relatively speaking.
I cant tell how hard ZX is, the prologue segment was easy, and the amusement park area was pretty easy, but thats as far as i've been. If 4 made Viz cry, I think ZX might be on Par with Zero 3.
