To use the bonus costumes, you must first complete the game once and unlock the "Extra Costume" option. Enter the following case-sensitive passwords and you will be prompted for that costume. Once entered, you can then equip them during game play.
Note: Some codes are specific to the PAL and NTSC versions of the game.
Douglas in underwear:
After successfully completing the game once, highlight the "Extra New Game" option at the main menu and press Up(2), Down(2), Left, Right, Left, Right, Circle, X. Heather will sigh after you choose a difficulty and riddle level to confirm correct code entry. In some scenes when you see Douglas, he will be wearing his underwear.
Extra options menu:
Press L1, L2, R1, or R2 at the options screen to display an extra options menu
Thanks to RamirezXsJ