Play as Dark Zero:
At the Player Select screen, highlight Zero. Hold R1, then press Right, Right, Right, Right, Right, Right and release R1. Hold Circle, then press X.
Play as Dark Mega Man:
At the Player Select screen, highlight Mega Man X. Press Circle, Circle, Left, Left, Left, Left, Left, Left. Hold L1 + R2 and press X.
Cheat mode:
At the title screen, press Up, Down, Left, Left, Circle, Square, Triangle, X, X, X, Left, Up.
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Mega Man X4 Cheats at CheatingDome.com.