All Shu generals:
At the main menu, press White, Black, X, Y, White, R, L, Black.
Opening Edit option:
At the main menu, press X, Black, Y, White, L, R, White, White.
BGM Test option:
At the main menu, press L, White, Y, R, White, Black, X, Y.
Unlock Lu Bu:
Beat 1000 enemies at the battle of Hulou gate and then beat Lu Bu.
(supplied by: ice)