Player Costume Change
At the Character Select screen press Square Triangle for Costume 1 or X Circle for Costume 2.
Play as Devil Kazuya
Beat all the rounds of Galaxian.
Play as Heihachi
Beat the entire game without continuing.
Play as SubBoss
Beat the SubBoss and he'll be available.
Play Galaga with Two Ships
During PowerUp hold Up L1 Triangle X on the player two controller. or Press Select and before Galaga round hold Up Triangle Square R1 until the round starts.