On the selection screen (Where you get Game Start, Time Attack, etc) enter R1, Up, L2 & Down. The single player 'story mode' should now have the words 'Another World' below it and contain modified versions of the original levels.
Go to Option mode and highlight Credit. Press Left, Right, R1, R2, L2, L1, Up, Down. Then press X repeatedly to increase credits before the timer runs out - with rapid button pushing, you can get them up to 29.
Start a Puzzle game. When the stage map appears, press Left, Left, Up, Down. Then press L1, L2, R1 & R2 and a Character Select screen will appear. Use Left & Right to select a character and press X to continue. You'll still see Bubby on the Map screen, but your new character will appear!
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