Change the Sega intro
If you start the GBA with Jet Grind Radio and continuously press the A button until the Sega logo appears you will hear a person scream the word Sega instead of the normal longer chorus.

Unlock Professor K as playable character
Play through the game (beat "Final Stage") and save the game. From now on Professor K from Jet Set Radio can be chosen as a playable character. He is located between Garam and Beat on the character selection screen (you can't see him dancing like the other characters, only his picture appears).