CG Gallery Mode
Highlight New Game, hold Select + L + A

Hard Mode
Highlight New Game, hold L

Perform these tasks in a level to unlock Zero's other forms:
Proto Form - Complete the game
Energy Form - Grab 25 Life Capsules
Rise Form - Kill 10 enemies with the Z-Saber
Defense Form - Kill 20 enemies with the Shield Boomerang
Active Form - Kill 20 enemies with the Z-Saber while dashing
X Form - Kill 50 enemies with Buster Gun
Power Form - Pull anything 30 times with the Chain Rod
Erase Form - Ricochet 30 shots from enemies with the Shield Boomerang
Ultimate Form - Use every Cyber Elf