Once you have all tanks and life expansions for Megaman, enter the Armored Armadillo level five times until the end. On the fifth time, when you are in the cart that jumps and leads to the Boss door, jump to the ledge to find a capsule with Doctor Light and the Hadouken Street Fighter style. Alternately, go through the Armored Armadillo level without getting hit once. At the very end, when the cart is flying through the air, dash jump to a ledge when the cart starts to descend slightly. There should be a Doctor Light capsule there, and he will give you the Hadouken attack. Note: You need full health to use this attack. Also, roll forward as if you were using it in Street Fighter 2. This move can kill anything with one blast.
Use the purple Charge Chameleon Sting followed by the Electric Spark attack (charged or not). To dodge his slash, jump up the wall. When he shoots, jump up the wall and dodge his bullets. When Sigma jumps up the wall from you, fall when he is on the other side of the wall. Repeat the Charge Chameleon and the Electric Spark attack until Sigma has been defeated.
To get Zero's Buster, get all upgrades for Megaman minus the arm upgrade. Keep playing until you fight Vile the second time in Sigma Palace 3. Defeat him while making sure you do not have the arm upgrade. After defeating him, you will automatically get Zero's Buster from him.
At the beginning of the level, jump on then off the trolley-like object as fast as possible and run down the path. There should be structures coming out of the ceiling when you reach the bottom. The first has a mechanical bat enemy and the second one has bat-like enemy that looks real. Also kill the flamingo enemy. When you kill the realistic bat, almost every time it dies it will drop an extra life. Run back to where the second structure on the ceiling is off screen, then run back and kill it again. Keep repeating this process to get as many lives as desired.