When in Mission 15 move to the top left-most corner of the map. Then you will find a weapon called the "Ziege Gun" which can either be sold for 15,000 Huffmann Dollars, or equipped it has 1x99 damage and then gives you 700 exp. on a miss.
To unlock the bonus Arena Town simply highlight the "New Game" option at the main menu, then hold L and R then hold A and Up. Then release all four buttons to unlock Arena Town.
When standing in town go to the status window and hold down L+R+Down, then press Start to select a new face, then hold down X+Y as well, press B, and then release all buttons.
To do a sound test simply highlight the "Load Game" option at the main menu, then hold L and R then hold A and Down. Release all four buttons to display the sound test menu.