Play as Boogerman
At the Character Select screen, hold Z or L and press B, B, C-RIGHT, C-RIGHT, C-LEFT, and C-LEFT. Now, press R on the "?" box.
Play as Earthworm Jim
At the Character Select screen, hold Z or L and press B, C-LEFT, C-UP, C-RIGHT, C-DOWN, and C-UP. Now, press R on the "?" box.
Play as High Five
At the Character Select screen, hold L and press C-UP, C-DOWN, C-LEFT, C-RIGHT, B and A. Now, press R on the "?" box.
Play as Sumo Santa
At the Character Select screen, press A, C-RIGHT, A, C-RIGHT, C-DOWN, and C-UP. Now, press R on the "?" box.