It's actually possible to skip almost all of the Alcatraz stage. As soon as you start, go to the wall on the left and boost up. If done correctly, you'll get over the wall and land on a small helipad on top, leading to the final area in the stage.
Bonus Armor Skins
Every time you beat a different mission on Hell Mode, you'll unlock bonus armor. Metal Wolf's character model is essentially the same, but with different colors and patterns.
Skin
How to unlock
Camp Armor
Beat a different mission on Hell Mode.
China Armor
Beat a different mission on Hell Mode.
d Stripes Armor
Beat a different mission on Hell Mode.
Desert Armor
Beat a different mission on Hell Mode.
Doberman Armor
Beat a different mission on Hell Mode.
Dolphin Armor
Beat a different mission on Hell Mode.
Help Armor
Beat a different mission on Hell Mode.
Pinstripe Armor
Beat a different mission on Hell Mode.
Redeye Armor
Beat a different mission on Hell Mode.
Richards! Armor
Beat a different mission on Hell Mode.
Stars and Stripes Armor
Beat a different mission on Hell Mode.
White Sands Armor
Beat a different mission on Hell Mode.
Zebra Armor
Beat a different mission on Hell Mode.
Fever Mode
Beat the game.
Hell Mode
Beat the game.
Movie Viewer
Beat the game.
New Title Screen
Beat the game.
Shooting Down The Helicopter
If you're armed with the long-range weapons, it's possible to shoot down the DNN helicopter. As you attack it, you'll get bonus dialogue from Peter MacDonald angrily yelling at Metal Wolf. If it's shot down, Peter MacDonald will reassure the viewers that he "somehow" survived and will return in another helicopter.
Shooting The Statue
In the first level, find the statue of Michael's father and start shooting it. If you do it enough times, he'll admonish Michael from the afterlife for his actions. If you keep doing it, Michael will eventually break down and apologize. You can also get different dialogue by attacking the statue again when you return to Washington D.C. and destroy the Fight House.
UFO Missions
After you've beaten the game, a single UFO will appear in each stage in chronological order. If you destroy ten of the UFOs and their alien pilots as they try to escape, Jody will briefly sing for you. If you destroy all 14 of them, Jody will say a special message and congratulate you as the President of Outer Space.
Alcatraz Island Shortcut...