Follow the criteria listed to unlock the corresponding features:
Beat game on Easy/Normal: Unlock Rei List, Mission Mode, Gallery and the Feel and Expand Camera. You can also start a game with your weapons/items from the finished game.
Beat game on Normal: Unlock Hard Mode and two bonus costumes, plus accessories.
Beat game on Hard: Unlock Nigftmare Mode, plu Album feature. You'll also unlock more costumes and see the final ending.
Beat game on Nightmare: Unlock two new costumes.
Beat all missions in Mission Mode: Unlock more new costumes.