At the Press Start screen, press Up, Up, Down, Down, Left, Right, Left, Right, B, A.

Lvl. 2: Head, Claws, X-Men sign, Body
Lvl. 3: Downtown - Claws, Sabrewolf, Body, Head
Lvl. 4: Tokyo Skull - Head, X-Men sign, Claws
Lvl. 8: Lab Claw - Blue Head, X-Men sign, Skull
Lvl. 9: Lab Skull - X-Men sign, Claws, Sabrewolf
End Lvl: Blue Head, Skull, X-Men sign, Lady