Fight as Eelis
At the character selection screen, highlight Benten and press C, C, B, B, C, B, C, A.
Fight as Behemoth
At the character selection screen, highlight Syuten-Dozi and press B, C, B, C, B, B, C, A.
Fight as Lucifer
Highlight Susanou on the character select screen and press B, C, C, C, B, B, B, C, A.