Alternate Main Characters
At the Title screen press Right Left Right Down Up Up. Then change the number that appears on the upper left corner of the screen to play as different characters.
Change Window Color
Wait until the message window appears while playing a game. Then hold Select Triangle L1 L2 R1 or R2. While those buttons are held press Up or Down to change the corresponding color value. L1 controls red L2 controls green R1 controls blue and R2 controls all three values.