After completing the four bosses of Metropolis, a gateway to fight 'Mr. X' appears. Since it was Wily's alias in Mega Man 6 games, most people wouldn't think anything of it. Who's the boss? An X clone.
Later parts of the game feature bullet hell attacks that are tough to dodge. The kicker is that these don't start showing up until Jerry off-handedly mentions that he's bad at bullet hell shmups. Turns out the Darkness was listening to that conversation, as it introduces the very next boss with "So, you're not too good at bullet hell?"
Why does Jeremy suddenly start encouraging you on the Game Over screen, after you beat Hexor? He doesn't, that's Chao. Jeremy's still locked out after Hex took over the screen during his boss fight.
As was pointed out on a forum, In the Standard ending, Hexor wins. He gets everything he wanted (to kill Jeremy, to rid the Darkness of its ability to control the world, and his own demise), while you're unable to stop anything he planned.
