Second Fortress. Third Stage. The place you always fight all eight Robot Masters again.
Before you get to the obligatory rematches, you'll go through a section with fan bots and watery spike pits. Use the Rush Jet to avoid these to the best of your power. It's not too tough to get through this section.
For the Robot Masters, simply utilize the same strategies you used before. If you're low on weapon energy, kill yourself to the point of game over, and continue to replenish it. Once they are finished off, step through the teleporting hatch. Success.