Play as Morrigan
At the character selection screen, highlight the question mark option and press Up.
Play as Ain
At the character selection screen, Highlight the question mark option and press Down.
Power on the Dreamcast, then hold Start at the Sega logo. Keep Start held until a debug menu appears. This menu has options for stage selection, invincibility, infinite bombs, music test, and to hear the Japanese intros/endings cut from the US version.