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Continue Galaga During Loading Screen
To continue Galaga during the loading screen as many times as you wish, press SELECT whenever the screen shows "Number of Hits". If you score 40 ships the first round, the game will automatically go to the next level.
Heihachi Demo
To see Heihachei Fighting at the title screen, hold L1+L2+R1+R2 until the random Character demo fight comes up. Heihachei will be fighting.
Play as Heihachi
To play as Heihachi, beat the game without using any continues.
Play as the Sub-Bosses
To play as the sub-bosses, beat Arcade Mode with any regular character and you will earn one of them. Below is a list to tell you which character gets which sub-boss.

Lee: Beat arcade mode with Law
Kuma: Beat arcade mode with Paul
Wang: Beat arcade mode with Kazuya
Anna: Beat arcade mode with Nina
P.Jack: Beat arcade mode with Jack
Armor King: Beat arcade mode with King
Ganryu: Beat arcade mode with Yoshimitsu
Kunimitsu: Beat arcade mode with Michelle

Rapid Fire Galaga
Hold Triangle while playing Galaga for rapid fire.
Secret Character
To get a secret character, beat all the Galaxian ships without getting a double ship. You will then see the secret boss on the character select screen.
Two-player Galaga
For two-player Galaga, hold Up + L1 + Triangle + X on Controller Two while the game is loading.