To unlock the following features, you will need to beat the game in these according ranks:

Extras

Gallery - "A".
Database - "B".
Theater - "B".
The following are theater movies:

Satellite - "C".
Return - "B".
Triumphant Return - "A".
Konami Movie - "S".

Stages:

Level 6 - Complete stage 5 with "A".
Level 7 - Complete stage 6 with "A".

30 Lives

Plug in the second controller (has to be a Dual Shock 2) and enter UP, UP, DOWN, DOWN, L1, R1, L2, R2, L3, R3 a the title screen.