At the background selection screen in vs mode, hold Start and press A, B, X, or Y while selection a background to change the color of the background.
EX menu
At the main menu, highlight the "Options" selection, then hold L + R and press A on a controller. Press Z + C on an arcade stick.
Play as Marionette
At the character selection screen, highlight the "?" selection, then press Start(7) and A, B, X, or Y. Marionette takes the form of any opponent you are fighting.
Play as Oboro Bishamon
At the character selection screen, highlight Bishamon, then hold Start and press A, B, X, or Y.
Play as Shadow
At the character selection screen, highlight the "?" selection, then press Start(5) and A, B, X, or Y. After every round, Shadow takes over your fallen opponents body and fights the next round as them.
Alternate background colors...