Secret Sequence
Beat the survival mode without any continues. And the secret video will appear

Random select
Hold down the start button on the character selection screen for a random select. Press any other button to choose your character.

Unlocked All Art Work
Successfully complete survival mode with any characters, Beat the game using no continues.

Selecting Kain and Grant
At the character selection screen, highlight either Rock and press left or highlight Terry and press right. You should see Grant if you started from Rock or Kain if you started from Terry. (Or vice versa... not too sure about the right order ^_^U)

You can start from either character and press left or right twice to select either sub boss / boss character