Mega Man X4/Walkthrough

Game Flow
The main game is played in the following order:
 * Start Sky Lagoon as the intro stage.
 * Return to base and get to choose Maverick stages in any order.
 * After completing any four stages, the player is forced to visit Memorial Hall.
 * After defeating all Maverick bosses, complete Space Port, and Final Weapon (twice in different parts).

As X
Starting from Volcano can be advantageous because it's the only Maverick whose boss area X can access with a Ride Armor. However, starting from Jungle to get the Leg Upgrade also brings the advantage of mobility.

The following order ensures that all bosses except the Web Spider (who is chosen first) can be beaten with weakness weapons, and collect all items by revisiting any stage up to once.
 * The fact is, Web Spider only reacts to weakness weapon in the first half.

As Zero
Two of Zero's "weapons" actually are skills that deal no damage, therefore the Maverick order has to be different.

The regular Z-saber deals slightly more damage to Web Spider than to most other Mavericks, while Slash Beast is the hardest boss, even with all other powerups.

This order may be challenging since you need to defeat Magma Dragoon first, which is hard even with Ride Armor. However, it also ensures that the stages do not need to be re-visited (or up to once, in case two of the hearts are too hard to get without Kuuenbu).

In case someone is trying a "No miss" run, starting with Marine Base (Jet Stingray) is also good, since it is a bike stage and easier to crush into walls.