2 Hidden Characters
Beat the game with any characters and Megaman and Little Red Lady will be unlocked. You can't see them on the character selection screen but they are on left and right of the other characters.

Hidden Mode
Beat the game once and you will unlock Gallery Art. This contains pictures of characters and the game. Beat teh game with the other characters to unlock more pictures.

Receive Cammy w/ new outfit
When at the player selection screen, first you must highlight, then press up. Her outfit has now changed to a lighter color.