At the Player Select screen, put the cursor on Zero, then press and hold R1, and press Right, Right, Right, Right, Right, Right. Release R1, press and hold p, then press u. When the game starts, Zero will be wearing black armor.
Play as Dark Mega Man:
At the Player Select screen, put the cursor on Mega Man X and press p, p, Left, Left, Left, Left, Left, Left. Simultaneously press and hold L1 and R2, and press u. When the game starts, you'll play as Dark Mega Man.
Ultimate Armor
At the Player Select screen, put the cursor on Mega Man X and press Cir, Cir, Left, Left, Left, Left, Left, Left. Simultaneously press and hold L1 and R2, and press X. When the game starts, Mega Man X will have blue-and-purple armor. Play through the first two intro stages, then enter the Jungle Stage. In the Jungle Stage, head to the right halfway down the second waterfall and find the capsule. Enter the capsule, and you'll get the Ultimate Armor, including the Nova Strike attack.