Play as Silvia:
Beat the game on Adult.

V-Rated mode:
Beat the game on Adult.

Play as Alastor:
Beat the V-Rated mode.

Ultra V Rated difficulty:
Beat the V-Rated mode.

Play as Captain Blue:
Beat Ultra V-Rated mode.

Super Mode:
Beat the game and get a Rainbow-V rank in every level (the highest rank possible). When you start a new game you'll have unlimited VFX.

Unlimited VFX mode:
Beat the game with a Rainbow V rank for every level. Start a new game and press Z.

Skip FMV:
To skip sequences, press Z.

Thanks to Revolution readers Balki, Moptop and Martin Brodeur!