Alternate costumes:
Beat the game with at least 95% completion to unlock a second costume.

After Dark level:
Beat the game with 100% completion.

Bails FMV sequence:
Beat the game with 100% completion with two characters.

Bring Me Down FMV sequence:
Finish all the goals in Transworld Tour mode with any three characters.

Play as El Presidento:
Finish all the goals in Transworld Tour mode with any four characters.

Thanks to Revolution readers THE_MOSH_MAN and El Fuego!