Mega Man X4

Play as Dark Zero
When you get to the character select screen, hold the up key while selecting Zero. When you start the game Zero should be wearing his black armor.

Megaman's Ultimate Armor
First hold down, then pick Megaman at the Player select screen. When you start Megaman's Armor should be outlined in purple. After beating the introduction stage, collect any one of the armor pieces and you will have the ultimate armor. It is best to get the first piece from the Web Spider level.