Play as male shadow

At the character selection screen, highlight the "?" box, press Select(5), then press any button.

Play as female shadow

At the character selection screen, highlight the "?" box, press Select(7), then press any button.

Play as Image Talbain

At the character selection screen, highlight J. Talbain, hold Select, then press all three Punch or Kick buttons.

Play as Oboro (Shin Bishamon)

At the character selection screen, highlight Bishamon, hold Select, then press any button.