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 Gallon, 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.