Play as Marionnette:
Highlight the ? box and press Select 7 times. Now press any button.

Play as Image Talbain:
Highlight Gallon, hold Select, and press all three Punch or Kick buttons

Play as Oboro:
Highlight Bishamon, hold Select, and press any button.

Play as Shadow:
Highlight the ? box and press Select 5 times. Now press any button.

Play as Oboro
Go to the character selection screen, highlight Bishamon, hold select and push any button.

Alternate Talbain
Highlight J. Talbain at the character selection screen and press and hold SELECT,then press all three Punch or Kick buttons

Extra Colors
At the character select screen, highlight your character and press two punches or two kicks.
Note: This cheat also works for the Male and Female Shadows.

Play as Marionette
from (monkeylee2000) Highlight the "?" and press the Select button seven times; hold Select on the seventh time and press any button that chooses a character.
Marionette acts similarly to Shadow. Instead of taking over the loser's body, Marionette assimilates the body of the next challenger.

Play as Hanya or Oboro Bishamon
To play as Hanya or Oboro Bishamon highlight Bishamon and hold select then press any 2 punches or kicks. Alternate: highlight Bishamon and hold the L2 button then press any punch or kick.