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.