Debug mode:
To access the debug mode menu, press Plus 1 2 at the title screen.
In debug mode you can change characters, weapons, and stages; and access
the sound test and invincibility.

Plissken:

Complete the game on Normal to unlock Plissken.

Tsugu-Min:
Complete the game on Easy to unlock Tsugu-Min.

Nightmare difficulty:
To unlock Nightmare difficulty, complete the game on Hard difficulty. In Nightmare difficulty, enemies will shoot a blue ring after they are killed.