When you start the game you have a choice to play as either Mega Man or Proto Man. While they both function relatively the same Proto Man has a shield that he uses when he jumps to reflect projectiles, He may also have some movement differences.

By the end of the game it doesn't matter which character you choose due to a cut scene that eliminates Proto and forces you to use Mega. All your weapons will carry over to Mega if you played as Proto throughout the game.