Phew, this is really a tough comparison. Like you I have fond memories of both games. Mario was the first game I played on the SNES and the colorful 16-bit graphics blew my mind as a child.
But then Mega Man X came along and rocked my world!
I can be a little biased as well since the Mega Man X series is one of my favorites to this day. But you just can't deny it's shear level of quality. In both a graphical sense and a gameplay sense.
One thing I would say about Super Mario World though, is that it's much more timeless and approachable. It's easier to pick up and play and gradually gets challenging. Where Mega Man X challenges you right out the gate.
Not that that's a bad thing! But if I was to present either to my 5 year old, 9 times out of 10 he'd probably pick Mario just because it's less intimidating.
You actually make a very good point. One of the problems in Mega Man X is the fact that it can be hard for a first time player to figure out a good way to approach the game since the eight stages can be selected at will. The player can get overwhelmed, and it can be hard to figure out the best order.
Most of the bosses are also extremely tough without their weakness for a first time player.
Mario is more approachable, so yes, that's true.