Movie Theater custom characters:
Enter the VFTV Movie Theater, then hold Left and press X when choosing the Wolf-El Blaze or Eileen demo movies. Any customizations you made to those characters will now appear in the movie.
Arcade mode Route B:
Hold Guard or Punch at the "Yes or No" prompt at the character selection screen in Arcade mode. Keep the button held until the match begins. This mode has a different order of the fighters that appear.
Classic SEGA sound:
Hold Circle while loads to hear the classic "SEGA" sound from the Genesis system when the Sega logo appears.