Under the challenges section on the main menu their are various challenges you can complete for unlockable content.
The King of Fighters '94 Cheats
Press D when you select your team or character to get their alternate costume.
Blood Code (AES only)
To enable blood, wait for the highscores to appear on the intro demo and then press A+D on controller one and B+C on controller two at the same time. Then press START.
The King of Fighters '95 Cheats
Play As Saishu Kusanagi and Omega Rugal
Code Effect Play As Saishu Kusanagi and Omega Rugal Pick team edit. At the fighters selection screen, hold down to the Start button and press Up + B, Right + C, Left + A, Down + D.
The King of Fighters '96 Cheats
Unlock Bonus Characters
|Unlockable||How to Unlock|
|Unlock Bonus Characters||Hold down the Start button while choosing your character to unlock the bonus characters.|