The following are unlocked in stages by collecting ALL 5 keys and then unlocking the corresponding 5-keyed door.

Unlock 3 Extra Lives:
In The Ark get ALL 5 keys

Unlock 2 Turrets:
In Black Comet find ALL 5 keys

Unlock Turrets:
In Final Haunt find ALL 5 keys

Unlock Armored Car:
In Lost Impact find ALL 5 keys

Unlock Black Volt:
In Sky Troops find ALL 5 keys

Unlock Warp Hole:
In Death Ruins find ALL 5 keys

Unlock Warp Hole:
In Space Gadget find ALL 5 keys

UnWarp Portal:
In The Last Way find ALL 5 keys

Unlock Shortcut:
In Cryptic Castle find ALL 5 keys

Unlock Black Hawk:
In Glyphic Canyon find ALL 5 keys

Unlock Air Saucer:
In Lava Shelter find ALL 5 keys

Unlock Air Saucer:
In Central City find ALL 5 keys

Unlock An Air Saucer:
In Air Fleet find ALL 5 keys

Unlock Armoured Car:
In Westopolis find ALL 5 keys

Unlock GUN Vehicle:
In Lost Impact find ALL 5 keys

Unlock Milatary Vehicle:
In GUN Fortress find ALL 5 keys

Unlock Tank Cannon:
In Prison Island find ALL 5 keys

Unlock Tank Cannon:
In Iron Jungle find ALL 5 keys

Unlock Black Arm's Vehicle:
In Sky Troops find ALL 5 keys

Unlock Black Arm's Vehicle:
In Glyphic Canyon find ALL 5 keys

Unlock Large GUN Cannon:
In Lethal Highway find ALL 5 keys

Unlock Warp Hole:
In Digital Circuit find ALL 5 keys

Unlock Extra Shooting Gallery:
In Circus Park find ALL 5 keys

Unlock Alternate path to a Red Terminal:
In Mad Matrix find ALL 5 keys

Unlock Switch that makes Ring Trails to the end of the Level:
In Cosmic Fall find ALL 5 keys

Opens Cage which triggers Shortcut to the end of the Level:
In The Doom find ALL 5 keys

Unlock More Weapons

Samurai Sword:
Clear story mode as Evil

Satellite Laser:
Clear Story mode as Bad

Egg Vacuum:
Clear Story mode as Neutral

Omachao Gun:
Clear Story mode as slightly Good

Healer Gun:
Clear Story mode as Good

Shadow Rifle:
Clear Last Story mode