To unlock the following features, beat the game with the according ranks:

Extras 

• Gallery - "A". 
• Database - "B". 
• Theater - "B". 

The following are theater movies:

• Satellite - "C". 
• Return - "B". 
• Triumphant Return - "A". 
• Konami Movie - "S".

Stages:

• Level 6 - Complete stage 5 with "A". 
• Level 7 - Complete stage 6 with "A". 

30 Lives 

Plug in the second controller (must be Dual Shock 2) and enter UP, UP, DOWN, DOWN, L1, R1, L2, R2, L3, R3 a the title screen.