Go to Armored Armadillo's stage. Jump on the first mine cart and jump off, so it rolls away without you. On the ceiling there are little roosts with bats on them. Run until you see one with a different bat on it. This bat is actually from an original Mega Man game. Destroy the bat. It should drop a life. If it doesn't, run back until its roost goes completely off the screen. Run back towards the roost and the bat will be back. It will usually drop a life when shot. Repeat until you have 9 lifes!