If you check out Mega Man 9's pause screen, you get lots of info like how much weapon energy you have left and how many more Mega Mans you have in reserve.
[Normally a screen shot would go here, but I kind of don't have access to a working capture device, and my artist is on vacation, so use your imagination, or just consult your own status screen]
You'll notice that next to Mega Man's Mug that there's a two-digit number to indicate how many lives you have left. You might think that you can get up to 99 tries to off Wily, but you'd be mistaken.
For some reason, even though you have two digits to show how many lives you have left, the counter stops at 9. And lives don't continue to accrue, either. If you have 9 lives, pick up 4 more, lose one, you won't have 12 left in reserve, you'll have 8.
So be wary.