You can unlock everything there is in Ninja Gaiden 3: Razor's Edge, but it requires a lot of work. All the weaponry and Ninpo unlock by collecting Karma and through progressing in the Story mode. You can also upgrade most moves using Karma Points.
Health improvements require collecting the Scarabs that you find throughout the game's levels, then spending your Karma on the upgrade. You can unlock Costume 2 through playing the Story (and buying with Karma). Costume 3 is unlocked having collected all 50 Scarabs in the game. Costume 4 is unlocked when you have attempted 10 challenges. Be prepared to play through the game multiple times to get all the Karma you need.
Added by: MongooseGeneral Jan 10th 2013, ID#42