Play as male shadow:
At the character selection screen, highlight the "?" box, press Select(5), then press any button.

Play as female shadow:
At the character selection screen, highlight the "?" box, press Select(7), then press any button.

Play as Image Talbain:
At the character selection screen, highlight Gallon, hold Select, then press all three Punch or Kick
buttons.

Play as Oboro (Shin Bishamon):
At the character selection screen, highlight Bishamon, hold Select, then press any button.