Bonus characters
Like the arcade, you can unlock Falconess, Minotaur, Tigress, and Jackal when you reach level 25 with each of the original characters. To use the bonus chars, just load your level 25 character and start a new character through character management. If you hold down Turbo your character should turn into its alternate character.
Easy XP
If you have auto-fire on your controller, you can REALLY take advantage of this and boost your character up to max levels without really having to work for it. Just begin a game in the first level in the mountain world. If you stand in front of the first set of stairs and keep holding your Fire button (ie keep attacking), you should just blast away at an unlimited number of green trolls that come from the generators. Stay like this for as long as you need XP. Without auto-fire, you have to stay there and keep pushing away at the button.
Full pause screen
Just like a whole bunch of other Dreamcast games: Pause the game and press X + Y.