Press Plus + 1 + 2 at the title screen to access the Debug mode menu. Use its options to change characters, weapons, and stages; and access the sound test and invincibility.
Nightmare difficulty
Successfully complete the game under the Hard difficulty setting. Under this setting, any enemy that is destroyed will shoot a blue ring in your direction.
Play as Plissken (lizard)
Successfully complete the game under the Normal difficulty setting.
Play as Tsugu-Min (robot)
Successfully complete the game under the Easy difficulty setting.