To get to Stage 6 and 7 you need to finish with an "A" rank in stage 5 and 6 respectively.
Gallery - Finish the game with an "A" Rank
Theater - Finish the game with a "B" Rank
Enter at the title screen with either control 1 or control 2:
Up, Up, Down, Down, L1, R1, L2, R2, L3, R3
Press Up, Up, Down, Down, L1, R1, L2, R2, L3, R3 at the title screen.
To unlock Lucia you need to beat the game on easy mode in under 20 minutes.
Stage 6 - Complete 5 stages with overall A rank
Lucia II - Complete game with Lucia and obtain rankings of 100% for every level.
Weapon Set D - Complete Stage 5
Weapon Set E - Complete Stage 6
Stage 6 (Training) - Complete Stage 6
Stage 7 - Complete stage 6
Best Ending - Complete stage 7
Stage 7 (Training) - Complete Stage 7
Weapon Set F - Complete Stage 7
Hidden video (Jaguar comedy) - Complete stage 7 with overall S rank
Bill II (Bill in a thong) - Complete stage 7 with overall S rank
Jaguar II (Jaguar in a thong) - Complete stage 7 with overall S rank
Lucia Playable - Complete the game on Normal difficulty, stages 1-5, in uder 18 minutes.
Theater - Complete the game with A rank
Gallery - Complete the game with A rank
Katana Jaguar - Just play any stages on normal difficulty
By satisfying the following requirements, you may unlock these bonus features.
Unlock Music Box - Complete the game once
Unlock Weapon Set D - Complete the game once
Unlock Gallery - Complete the game twice