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Twinkle Star Sprites: La Petite Princesse

Unlockable: Load Ran

Finish Story Mode.

Unlockable: Mikoto

Finish Story Mode.

Unlockable: Really Till

You have to beat Really Till in Story Mode, and then beat Story Mode.

Unlockable: Saturn Opening FMV

Finish Character Mode with Load Ran, and it will appear as item 38 in the Graphic Gallery.

Unlockable: Twinkle Star Sprites (NeoGeo AES Version)

Finish Character Mode with all of the three hidden characters -- Load Ran, Mikoto, and Really Till.