You can change the endings by collecting special herbs and by your in-game performance (get "A", "B", "C", etc. ranks).
Combo blocking
Repeatedly press L.
Completing survival mode
Pay attention to your health. Get a weapon quickly. Look for items. There will be a mini-Boss for every 70 or 100 opponents that you defeat. Play a New Game Plus frequently to get a lot of strength. By completing this mode, you will unlock new costumes. Try to use Shu Lien and Mu Bai in this mode.
Completion Bonuses
Successfully complete the game to unlock the mini-games, FMV sequences, movie sequences, and survival mode.
Film Clips
Successfully complete a level with an "A" rank to unlock a film clip. The ratings used to determine your rank include: special moves, combo blocking (L), and continues used. The easiest way to do this is to do specials on Bosses or block a lot of their moves. Also, watch the health meter. With the survival mode, just play a New Game Plus until your characters are strong enough.
Jen's Comb
Hit Lo with an attack before you fight him outside of Lo's Cave.
Turtle Stone
During the fight with Jen (second time) using Li Mu Bai, find the bell and break it. The Turtle Stone should fall out.
Alternate endings...