Press X, Y, Z, Left, Down/Left at the "Now loading" screen that appears after the Sega logo. Press B in the debug screen to select the various options.
Fight as Venus and Isanagi:
Complete the game and fight both Bosses. Venus and Isanagi will be selectable after they are defeated.
Fight as Shadow Boy:
Complete the game by defeating all characters, including Venus and Isanagi, without using any continues. Defeat Boy's alternate personality, Shadow Boy, after beating Isanagi. Shadow Boy will now be selectable.
Fight as Eiji:Defeat Shadow Boy without using any continues. Eiji from Toshinden will appear as an opponent. Defeat him to make his character selectable.