On most stages, there is a character you can help. If you do, you'll get an icon (called Drama) on the stats screen at the end of each level. Collect specific icons to unlock different endings. Some icons have precedence over others, for example, if you have the Hat + Heart icons, they will always overrule any other Drama icons you've gotten. The Bonus Stars are gotten by entering the bonus stages through a huge star found on each stage. The Extra Level icons are trickier to get because the entrance to the extra area is very well hidden, and once inside, you need to find a character/enemy and destroy it to get the icon at the end of the level.

Ending	How to unlock
Ending 1	Have the Hat + Heart.
Ending 2	Have the Hat (but not the Heart)
Ending 3	Have the Star + Heart (but not the Hat)
Ending 4	Have the Star (but not the Heart or Hat)
Ending 5	Have the Heart (but not the Star, or Hat)
Ending 6	Have anything other than the Hat, Star or Heart.
Ending 8	Get all Bonus Stars and Drama icons.
Ending 9	Get all the Extra Stage icons.