The Theater Mode gets opened up after you beat Story Mode once with whatever character. At that time you are able to listen to the stage soundtracks, view the movies of the character you just beat Story Mode with and the attract movies (Arcade Intro, PlayStation2 Intro, and E3/TGS trailers). As you beat Story Mode with each character the movies will become available in Theater Mode. Getting all movies requires you the beat Story Mode with both Kuma and Panda as well as Christie and Eddy.