> Play as Kaede 
At the Character Select screen, highlight Rain, then press Down, Down, Left, Left, Up. 

> Play as Rai-On 
At the Character Select screen, highlight Byakko, then press Up, Down, Left, Left, Right, Left, Up. 

> Play as Evil Gamof 
At the Character Select screen, highlight Gamof, then hold Start and press A.
(courtesy: GameFan)