If you've been looking for a legal way to watch episodes of Captain N: The Game Master (as well as The Super Mario Bros. Super Show!, The Legend of Zelda, Sonic Underground, Pole Position, and even cartoons not based on video games) without dropping the money on the DVD sets, then you're in luck. The peculiarly-named website Jaroo is described by nerdblog Topless Robot as being like "Hulu for kids," except the material shown on the site isn't new and current stuff, but stuff that is rather old.
There aren't very many episodes of any given show available presently, but "new" ones are added at regular intervals, with dates given at the bottom of the page for any given show. Fortunately for Mega Man fans with a bit of curiosity about 20-year old licensing deals (or those who are simply masochists), not only is the pilot episode available, but also the two-part episodes "Videolympics" and "Mega Trouble in Mega Land," the latter of which contains some very... interesting takes on the villainous Robot Masters of the first Mega Man game.
For those interested in learning more about the series, you can read its entry in our Mega Man Universe wiki.