Select versus CPU, versus two player, or training mode. Highlight the ''Random'' character selection at the middle of the screen and press R2.
Ex and Sp/Black
To get a persons Ex mode you can either unlock it in Servial mode(Every 10 lvls is a new Ex the daredevil is the Ex) or the way which i think is faster is to compelete the 1st & 2nd paths in story mode. To get the Sp form you just have to finish all three paths of a person. For black when you have the Sp of a person hold L1 then press start. Its for infinite specials.
EX Characters
Once you beat a character in Survival Mode, you'll unlock its EX version. To select an EX character, highlight him/her, then press L2 at the character selection screen.
Stage Select
To select a different stage, highlight a character and press R2.