I used to think that Sigma was hard. I've beat MMX3 about 500 times now and I can almost take him down with a completely unpowered-up Mega Man. That is, no powerups at all. I usually die on his second form when he's around 50% HP. Now, that is fucking hard. MMX3 with no powerups. Sigma is a tank.
Nah, they were easy as long as you hit Rubicant with Ice3 and Kainazzo with Bolt3 to do 9999 damage. Take those out quick enough and you should be okay for Milon and Valvalis. Milon = Fire3 Valvalis (Wind one, right?) = Lit-3 Kainazzo = Lit-3 Rubicant = Ice-3 = Easy. If you don't know one of those spells with Rydia, you need to do some serious leveling up.