In the final chapter "Stray Dog And The Lying Princess" you will fight the final boss of the game twice, kill it normally the first time, but when you are given the gun before fighting it for the 2nd time, don't use it to shoot the boss, instead dodge its attacks until it stops and says "I'm sorry...", when that happens hurry and get in front of it and open the menu with START and USE Gregory's Gun item (make sure you don't have it equipped).
If you do this you'll have to play a special chapter in which you will be shown the GOOD ENDING.
Now if you want the BAD ENDING simply kill the final boss in your second encounter with it, be it with Gregory's Gun or any other weapon you want to use.
After finishing the game with the Good Ending, you will get a Four Leaf Clover Key. Once you start a new game, the key will be in your bin and you can now access the four leaf clover room for extra costumes!