Cheat mode:
Hold L1 + L2 + R1 + R2 and press X, Up, X, Up, Down, Square at the options screen to unlock all extra options.

Extra option:
Successfully complete and save the game under the normal difficulty setting to unlock an "Extra" option at the main menu.

Extra 2 option:
Successfully complete and save the game under the hard difficulty setting to unlock an "Extra 2" option at the main menu.