You will find items scattered throughout the stages as you progress through them. They will also be dropped by some enemies when you defeat them.

Life Energy	These replenish Mega Man's life energy. Small ones are worth 2 points, large ones are worth 10.
Weapon Energy	These replenish the energy of Mega Man's currently selected weapon. Small ones are worth 2 points, large ones are worth 10. Note: You must have the weapon you wish to replenish selected prior to acquiring the item.
E-Tank	When you use this, your entire life energy gauge is replenished. Note: You can only stock four of these at a time.
1UP	This gives Mega Man another life.