Start with Ultimate Armor X:
Highlight Mega Man X and press Up twice then Down nine times.

Start with Ultimate Armor Zero:
Highlight ZERO and press Down twice and then Up nine times.

X Buster's Super Nova Armor:
At the character selection screen, highlight X Buster, then press Up, Up, Down 9 times. If you entered the code correctly, you will hear a sound. Then, press Circle. You will start with Super Nova Armor from Megaman X4.

Zero's Black Armor:
At the character selection screen, highlight Zero, then press Down, Down, Up 9 times. If you entered the code correctly, you will hear a sound. Then, press Circle. Zero's Black armor will reduce damage slightly compared to his Red armor.

Zero's Supreme Slash:
Repeatedly press Forward + Square as quickly as possible. Note: This is the best move to use to finish some of the Bosses.

Hints

Enemy Weaknessses:
Grizzly slash....goo shaver
Volt kraken......spike ball
Izzy glow........tri-thunder
Duff mcwhalen....ground fire
The skiver.......dark hold
Axle the red.....c-shot
Dark dizzy.......will laser
Mattrex..........wing spiral

Get All the Armors for X and Zero:
Start the game with X and make sure you have the Fourth Armor. After destroying the colony (make sure Zero does not become Maverick), go to the third Maverick stage with either X or Zero. After getting the armor, die constantly and go to stage selection screen when the game ends. Then, go to the stage again, but with the other hunter. For example, if you went with Zero first, then go with X next or vice versa. Look at the left side of the stage selection screen to find the Fourth Armor, Black Zero, Ultimate Armor, Gaea Armor (if you have it), and Falcon Armor (if you have it).

GameShark Codes

Infinite lives
300d1c45 0004

Infinite health
8009a0fc 2020

Infinite C-Shot
8009a14a 0121

Infinite Ground Fire
8009a150 0120

Infinite Tri-Thunder
8009a152 0120

Infinite F-Laser
8009a154 0120

Infinite Spike Ball
8009a156 0120

Infinite Wing Spiral
8009a158 0120

Infinite Hours to Collision
800d1cae 0040

Infinite Ammo All Weapon
d003f82c 1823
8003f832 2400

Thanks to Revolution reader Dan, Jason "ammonia" Muncher, andre subrat, Steven Sok and The Tongue Of Calicob=JR!