Alternate Colors:
Press A, A+X, A+Y, or A+X+Y while choosing your characer to pick a different costume.

Play as Rugal B:
Beat the game once. Now go to the character select screen, highlight Rugal, hold Start and press X to select him.

Teammate assistance:
Hold B when selecting the fighter order before a match. Make sure they are smiling or normal. Now if your fighter is stunned during the match, hold X + Y + A to have your teammates enter the fight.

Alter Egos & Modified Special Moves:
At the character select menu, hold start when on certain characters from the original KOF series (ex: Kyo Kusanagi, Terry Bogard, Andy Bogard, Joe Higashi, Robert Garcia). The picture at the bottom of the screen will change and the characters fighting style and special moves will be different. Check all of the characters in order to figure out which characters have alter egos.

Thanks to Revolution readers MotoRacer, Marcus Griffin, Manny V., and Ben Bledsoe!