Speak to Jack 5 times in Brimstone 3 and he will sell you health power-ups.
Talk to girls in the tub upstairs in Saloon Fight, they sell you a health power-up.
Talk to the girl in the Jailbreak twice after you rescue her, she will see you a health power-up.
Talk to the paper boy in Brimstone 4, he sells you a dead eye power up.