Fight as Marionette
Select arcade mode. Highlight "?" at the character selection screen then press Start(7), followed by any Punch or Kick.

Fight as Oboro Bishamon
Select any mode. Highlight Bishamon at the character selection screen then hold Start and press any Punch or Kick.

Fight as Shadow
Select arcade mode. Highlight "?" at the character selection screen then press Start(5), followed by any Punch or Kick.

EX Options
Hold L and choose the "Option" selection at the main menu.

Alternate stage
Hold Start when choosing a stage in versus or training modes.

Completion bonuses
Successfully complete the game 100% to unlock the introduction sequences from the arcade games and pictures in the "Art Gallery".

Chronicle movies
Complete the following tasks to unlock the corresponding movies in the "Chronicle" menu.

Anita's ending: Defeat Oboro Bishamon in arcade mode. 
Hunter introductions and endings: Choose Hunter with characters that have unlockable endings and complete arcade mode. 
Illustrations: Complete Tower mode with a 100% rank 
Jedah 2 ending: Choose Savior in arcade mode and select Savior 2 with Jedah. Defeat all characters without losing. 
Pyron 2 ending: Choose Savior in arcade mode and select Savior 2 with Pyron. Defeat all characters without losing. 
Vampire introductions and endings: Choose Vampire with characters that have unlockable endings and complete arcade mode. 
Vampire Savior introductions and endings: Choose Savior with characters that have unlockable endings and complete arcade mode.