The Pleasure Zone is a strange world that lives up to its name. It only appears in "Happy Birthday, Megaman." Resisting the allure of the world is the first of the Three Challenges towards reaching the Warp of Life.
The Pleasure Zone is, apparently, governed by a strange clown who is able to cater to the every wish of those who visit the world. When The N Team came as a part of Mega Man's quest to gain humanity, the clown spared no expense in delivering the goods. Kevin Keene was presented with a whole wall of video games to play, Duke got a huge bowl of dog food, Simon Belmont got mirrors in which to admire himself (and apparently a mirror duplicate of himself dressed in fancy clothing that showed him around), Princess Lana got access to Steve-O's Fashions - an elaborate store filled with fancy clothing she could try on as she wished (this could mean that Steve-O is the name of the clown governing the world, but this is never further substantiated), and Dr. Wright got access to a laboratory in which he could invent virtually anything.
Other attractions for all in the Pleasure Zone include a huge Ferris wheel, a roller coaster that requires no track, and the classic "throwing ping-pong balls into goldfish jars" game - albeit with huge jars and even bigger goldfish. Mega Man is eventually able to get a grip and resist the allure of the world, moving on with his quest to gain humanity. Simon claims they were in the Pleasure Zone for three weeks, though the ending of the episode implies this may have been an exaggeration.