Beat the game with all 10 fighters and save your game. Go to Fighter Select screen and keep pushing left or right until you see Cao Cao or the other secret fighter (you cannot see the icon to select them).Then beat the game with Cao Cao and the other figher. Save or don't save the game and go to the Fighter Select screen and keep pushing left or right till you see Lu Bu.
Sun Shang Xiang:
On the Title Screen, enter Left, Left, Up, Down, Triangle, Square, L1, R1. Now when you select your fighter, press to the left until you see Sun.
Beat the game in 1p battle mode w/ Lu Bu. Then enter the following code on the title screen:
Up, Triangle, Down, Circle.
Thanks to Revolution readers Quan Nguyen and Ryan!!