Successfully complete the game two times with the same character.
Metal Gear & Splinter Cell Reference
Near one of the labs in level one, Billy will walk by a cage containing a snake which is located next to a fish tank. Billy will say "These guys don't look so tough" which is a reference to Solid Snake and Max Fisher.
Name Glitch
During the first level, locate the cowgirl lotto ticket (in the room near the lab hidden in a picture frame). Pause and unpause the game quickly just before you take the ticket. If you did it successfully, the game will refer to the hero (Billy Bishop) as Bishy Billop until you complete it.