On the character select screen, highlight a character and press Y.
Unlock Sound Test:
Beat the game with every default character.
Clear story mode using Sakura. Find this fighter by highlighting Rock Lee and pressing X.
Unlock Extra Characters:
Beat Zaibuzan in story mode without using continues, and then beat Rock Lee when he appears.
Unlock Rock Lee, and then beat the game with all characters. Now highlight Nartuto on the character select screen and press X or Z.
Beat the game with Kyuubi Naruto, and then beat the game with Kakashi. Now highlight Kakashi on the character select screen and press X or Z.