At the menu screen, where you can choose i player battle, 2
player battle, options, and so on, press...

JACK-Hold Up and press X,A,R,R,Y,A
SARGE-Hold X and press L,L,Up,Down,Left,Down
THUNDER-Hold Up-Right and press Y,B,X,B,B,X,A
PEELGOOD-Hold Down-Left and press B,Y,Y,A,Y
BUTCH- Hold L and press Y,R,A,X,R,R
ICE-Hold B and press Up,L,L,L,Right
SLYCK- Hold Y and press L,L,Up,L,Left,R
SPIKE-Hold R and press X,B,B,A,Y,Left,A