Finish normal difficulty.
Finish Hard Mode.
Ultimate Oni Mode
Beat the game on Oni mode.
Multiplayer Mode (Takes 2 controllers)
From the title screen, usign both controllers, hold R1 and L2. On the 2nd controller, press start, and you'll hear a sound that indicates you've done the code correctly.
From the menu screen, select Special and leave the cursor on the exit option. Then enter Square, L1, R2, Square, Left, L1, L2, L3, Right, and Triangle.
Secret Costumes: Set 1
Beat all the Tests of Valor.
Secret Costumes: Set 2
Get Gold in all of the Tests of Valor.