Zero mini-game:
Beat the game.

Copy-X mini-game:
Beat the game on hard.

Fefnir mini-game:
Beat every mission with 100 points.

Leviathan mini-game:
Beat every mission with 100 points.

Harpuia mini-game:
Beat the game with only the Zet Zaber and "S" rankings.

Ciel mini-game:
Beat the game with an "S" in every mission.

Phantom mini-game:
Beat the game with only the Buster Shot and "S" rankings.

X mini-game:
Beat the game, then use the same saved file to beat the game again in hard mode.

Hard difficulty setting:
Beat the game, then highlight "New Game," hold L and press Start.

Ultimate difficulty setting:
Beat the game after collecting all the hidden disks. Then highlight "New Game," hold R and press Start.

Thanks to Revolution readers Dim Something, and Erika!

 

Change Enemies In Cyberworld

Get a MegaMan Battle Network 4 Red Sun or Blue Moon. You will need two GBA/SP, and a GBA link cable. Go to Ciel's room in the place you go to after killing Omega. Press up in front of the computer then go to Transmission and In Red Sun/Blue Moon, go to Comm. Then you have to go to trade chips, and trade any chip into Zero 3. In Red Sun/Blue Moon, you will get a secret chip. In Zero 3, all Cyberworld enemies will be changed.

 

Fight phantom

On the second to last level, go into the first hyperspace portal and while you are riding the platforms, you should find a door. This door leads you to 2 disks and a portal.  When you go into the portal, you will fight phantom from Megaman Zero 1.