Megaman ZX Advent

Is it okay to play this game without playing the first one? Or should I play the first one to get the story?

Nope. ZX advent happens after ZX. As a matter of fact, it's even better to play ZX advent 1st since it's easier =P

Spoiler

the only thing is that the main character from ZX makes an appearance

You don't need to.
And I liked Advent's visuals and characters more. ::)

Rysi0 you're completely right! ;)
Ya don't need to play the first one.Even I played Advent before the first one.And Advent is way better