Mega Man X4: X's Ultimate armor
Highlight X at the player selection screen. Press [Circle], [Circle], [Left], [Left], [Left], [Left], [Left], [Left], then hold [L1] + [R2] and press Start. Note: Hold [L1] + [R2] until game play begins at a screen with all the Bosses. Complete the first level and go to the spider stage. Go to the part with a spike spinning on platform. Go down to space below and go all the way to the right. The UA capsule with the armor will be there.
Mega Man X4: Zero's black armor
Highlight Zero at the player selection screen. Hold [R1] and press [Right], [Right], [Right], [Right], [Right], [Right]. Release all buttons, then hold [Circle] and press Start.
Mega Man X5: Megaman's Ultimate armor
Highlight Megaman at the character select screen, then press [Up], [Up], [Down], [Down], [Down], [Down], [Down], [Down], [Down], [Down], [Down]. A sound will confirm correct code entry. You will start the game with the Ultimate armor and always have it for use through the rest of the game.
Mega Man X6: X's Ultimate Armor
Highlight the "Game Start" option at the Mega Man X6 main menu, then press [Left], [Left], [Left], [Right] before starting a new game. A sound will confirm correct code entry. You will begin the game with X's Ultimate Armor, which is very much identical to the same armor from Megaman X5.