Play as Kaede
At the character selection screen, highlight Rain, then press Down(x2), Left(x2), Up.
Play as Rai-On
At the character selection screen, highlight Byakko, then press Up, Down, Left(x2), Right, Left, Up.
Play as Evil Gamof
At the character selection screen, highlight Gamof, then hold Start and press A.
More tricks, tips and cheats for this game are right here - Star Gladiator 2 cheats