Pause during a game, and then press Down, Left, Up, Right, L, A, X, Left, R, B, Y, Up, L, A, Down.
Pause during a game, and then press Up, Right, Left, Down, B, L, R, A, Right, X, B, Left, R, Y, Up.
To select what character you want to be, complete the game 20 times and enter Left, Right, Up, Up, X, B, L, Y, A in three seconds.
Pause during a game, and press X + Y. (same as many other Dreamcast titles)