Beat the first Chapter of the game with Beyond the Grave. Jyuji Kabane and Rocketbilly Redcadillac will get unlocked.

Get alternate (last boss) costumes, the sound test, stage select, movie viewer, and enemy rush by clearing the game with all three characters on any difficulty.
The customize options are awarded as players earn skull points through exceptional gameplay in the following areas:

Art Points
Beat count
Jackpots
Number of kills
Stage clear time

Get a high enough score in each of the five categories to earn skull points which will accumulate. Accumulate enough and the various options (called 'features' in the US version) will be unlocked on the stage statistics screen.

At the end of level 3, you will get stuck in a large room with some goons, a pair of large rocket launchers, a pair of large ninjas, and a pair of bulldozers. This is no easy task. Strafe around all the commotion. Concentrate your fire on the large rocket launchers and the large ninjas. If you are playing as Grave and you have plenty of demolition shots, they should not last long. Just use the Gun Dance attack a few times. Keep shooting and earning more demolition shots to get rid of them if you run out. The problem is getting rid of the bulldozers. Run into a corner of the room. The bulldozers are too big to hit you in that small space and will stay stuck to each other in front of you, waiting for your punishment. If other goons show up, do not worry about them. Keep pressing Square without moving from your corner and they will soon stop emerging. Then, hold Square until your guns start to go aflame, and release to shoot some burst shots. Regular bullets do not work on the front of the bulldozers. When the front of the bulldozers explode, they are now vulnerable to any attack. Unleash your rage on them, without moving from your little corner.