You can change the endings by collecting special herbs and by your in-game performance (get "A", "B", "C", etc. ranks).
Combo blocking
Repeatedly press L1.
Completing survival mode
Pay attention to your health. Get a weapon quickly. Look for items. There will be a mini-Boss for every 70 or 100 opponents that you defeat. Play a New Game Plus frequently to get a lot of strength. By completing this mode, you will unlock new costumes. Try to use Shu Lien and Mu Bai in this mode.
Completion Bonuses
Successfully complete the game to unlock the mini-games, FMV sequences, movie sequences, and survival mode.
Film clips
Successfully get an "A" rank on every level and scene. The minimum for getting an "A" rank is, A, B, B or A, A, B. To do this easily, block a lot of a Boss' moves, and do specials on enemies during the game. Also, do not die.
Jen's comb
Hit Lo with an attack before you fight him outside of Lo's Cave.
Turtle Stone
During the fight with Jen (second time) using Li Mu Bai, find the bell and break it. The Turtle Stone should fall out.