Unlock X:
Save 64 hostages/robots or defeat two Bosses.
Unlock Zero:
You will unlock Zero as you progress with Axl.
Completion Bonus:
Complete the game and then choose the "New Game+" option to begin with your previous chips, X, and his armor.
X has Full Armor:
Hold Select when choosing X at the character selection screen.
Unlock X's Ultimate Armor:
Find the large blue things for the parts of X's Ultimate Armor
"Lava" Stage: Look low for it in the first phase of the stage.
"Airplane" Stage: Look in the maze-like room in the second phase of the stage.
"Computer" Stage: Use the portals to reach it in the second phase of the stage.
"Jungle" Stage: After the "spike" area, there will be two stone spitting rocks, one on top the other. Use these two rocks to jump up top to the left area on a tree branch to get the blue pod containing the boots.