I found a glitch in Indie Game Battle.
When you play as Thunder, there are a few frames of animation in which you can take hits while charging a neutral special, and keep the charge of the attack. The timing for this is not something I've figured out yet, but it's somewhere between when Thunder stops charging an attack to move backwards, and where he's rolling. You can see the method demonstrated in this video.
This may apply to other characters with projectiles, I've tested it with most characters, and only The Kid's up special seems to work (though that move is useless for this kinda thing), though it may, as I only tried it out with each character once. Tell me if you find any other characters who are able to do this!