Okay, first off, I'll admit it: I've lured you here under false pretenses. That is to say, there is no official "Mega May" to speak of, at least not as of yet (the month is still young). That said, there are still Mega Man games on sale, so whether or not there's any official declaration, you can still celebrate by buying and/or playing Mega Man (and Mega Man-esque) games!
First up, Capcom is holding a publisher sale on Xbox.com for the next six days, with discounts as high as 75 percent off. That includes Mega Man Legacy Collection, which is 60 percent off, bringing the price down to just $6 USD/$7.60 CAD. If that's not enough, you'll also find that Ultimate Marvel vs. Capcom 3 is reduced by 40 percent to $14.99 USD/$19.79 CAD, and even the Dead Rising games on both platforms are 40-50 percent off on Xbox One, and 67 percent off on Xbox 360.
Now for the main event: the PlayStation Store is celebrating Japan's Golden Week with savings on "Japan-inspired" games and movies, with up to 70 percent off on titles, or 80 percent if you're a PS Plus member. (Thanks to @SantiagoCasale on Twitter for the tip on this one, which led me to look elsewhere as well!)
Until May 9th at 8am PT, The Misadventures of Tron Bonne is marked down from $5.99 to $2.39 USD, while Mega Man Legends is down from $9.99 to $2.99, and Mega Man 8 is reduced from $5.99 to $1.79. Remember that as PSone Classics, these are playable only on PlayStation 3, PlayStation Vita, and PlayStation Portable.
Over on Steam, there are unfortunately no Mega Man games on sale, but if you've been interested in trying out the clearly-inspired Mega Man-esque game 20XX, that is reduced by 20 percent.
Then there's Nintendo. Like Steam, there are no Mega Man games on sale as of this writing [pause, wait for gasps of surprise, continue], but there is the excellent Mega Man-esque Gunman Clive. Gunman Clive 2 for Nintendo 3DS is reduced from $2.99 USD to $1.49, while both games are collected in high definition for the Wii U in Gunman Clive HD Collection for $1.99., down from $3.99. Though thematically different, the running, jumping, and shooting action should make any Mega Man platforming fan feel right at home.