Alternate Costumes
On the character select screen, highlight a character and press Y.

Unlock Extra Characters
Rock Lee - Beat Zaibuzan in story mode without using continues, and then beat Rock Lee when he appears.

Kyuubi Naruto - Unlock Rock Lee, and then beat the game with all characters. Now highlight Nartuto on the character select screen and press X or Z.

Sharingen Kakashi - Beat the game with Kyuubi Naruto, and then beat the game with Kakashi. Now highlight Kakashi on the character select screen and press X or Z.

Unlock Sound Test
Beat the game with every default character