Play as Boogerman: 
At the Character Select screen, hold Z or L and press B, B, C-RIGHT, C-RIGHT, C-LEFT, and
C-LEFT. Now, press R on the "?" box. 

Play as Earthworm Jim: 
At the Character Select screen, hold Z or L and press B, C-LEFT, C-UP, C-RIGHT,
C-DOWN, and C-UP. Now, press R on the "?" box. 

Play as High Five: 
At the Character Select screen, hold L and press C-UP, C-DOWN, C-LEFT, C-RIGHT, B and
A. Now, press R on the "?" box. 

Play as Sumo Santa: 
At the Character Select screen, press A, C-RIGHT, A, C-RIGHT, C-DOWN, and C-UP. Now,
press R on the "?" box.