Mega Man X4
At the player select screen, highlight X. Press the "B" button twice, press Left on the D-Pad 6 times. Now hold L and R and press start.
Then, go to Web Spider's stage. There is a capsule hidden behind a waterfall. Pay no attention to Dr. Light. Jump into the capsule and you'll have all four pieces of the ultimate armor.
Thanks to Revolution reader Big Al!