Unlock KOF '94 Style Kyo Kusanagi
Highlight Kyo, hold Start, then press any button.

Unlock Orochi Iori
At the character section screen, highlight Iori then hold START and press Left, Right, Left, Right, Left, Right, A + C.

Unlock Orochi Leona
At the character section screen, highlight Leona then hold START and press Up, Down, Up, Down, Up, Down, B + D.

Unlock Orochi New Team
At the character section screen, highlight Leona then hold START and press Up, Left, Down, Right, Up, Down, B + C.

Special Endings
To get the special ending you have to pick one of these teams.

Kyo-Shingo-(and anybody else except Iori)
Kyo-Iori-Chizuru
Kyo-Mai-Billy
Kyo-Terry-Ryo
Mai-King-Yuri
Yamazaki-Choi-Chang
Terry-Mary-Joe
Kim-Benimaru-Joe
Ralf-Clark-Athena