Below are some cheats that can be used in Brawl. There is no need for ActionReplay or any sort of code input, all you need is your remote!
Start a Brawl as Zero Suit Samus
On the character select screen hold down your shield button (R/L on GC controller, B on Wiimote) and select Samus. Do not let go of the shield button. Once you are at the stage selection screen press up down up taunts very quickly. Once in Brawl, Samus will shed her armor.
Choose which stage in the Mushroomy Kingdom
The Mushroomy Kingdom has two separate stages for which it randomly chooses. You can force it to choose the Underground by holding your shield button at stage selection. Likewise, you can make it choose the other stage by holding the Y button on the GC controller.