Mega Man X5 Secrets:

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X’s Ultimate Armor: Highlight X at the character selection screen, then press Up(2), Down(9). A sound will confirm correct code entry. Then, press Circle. This will give you the Ultimate Armor, just like in X4. Alternatively, go to the third Final Zone level, and when you see a moving platform that doesn’t actually move over a short put, slide down the right side with X (no armor).

Zero’s Black Armor: Highlight Zero at the character selection screen, then press Down(2), Up(9). A sound will confirm correct code entry. Then, press Circle. The Black Armor reduces damage, reportedly in half. Alternatively, go to the third Final Zone level, and when you see a moving platform that doesn’t actually move over a short put, slide down the right side with Zero.