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Hard Mode
First, beat the game. Now hold L when selecting a new game to play on hard mode.

Unlockable: Gallery
First, beat the game on hard. Now highlight "NEW GAME" and hold L + A + SELECT and press START.

Unlockable: Forms
Defense Form: Kill 20 enemies with the Shield Boomerang
Active Form: Kill 20 enemies with the Z-Saber while dashing
Energy Form: Obtain 25 Life Capsules
Erase Form: Ricochet 30 shots with Shield Boomerang
Power Form: Pull something 30 times with Chain Rod
Rise Form: Kill 10 enemies with Z-Saber
Ultimate Form: Use Every Cyber Elf
X Form: Kill 50 enemies with Buster Gun

Alternate Zero armors
Successfully complete the game under the easy, normal, and hard difficulty settings. Then, press Start and press L or R until you get to a menu with Zero's helmet with a different color. There are pink, black, and red versions.

Using the Whip
Not only can the Whip get far items, but it can also move some heavy cubes and perform a swinging move. Hold [B] while in the air, and when it grapples onto something, press [Lef or [Righ to swing. Release [B] to let go the Whip.

Gain more level with Chain Rod
Keep hitting on a life or money object to earn more attack points.

Easy lives
Keep returning to The Desert Ambush to gain more 1-ups.

Go to the Ice Temple multiple time to get the lives there.

Go to the Polar Freeze zone. On the second ice blocks, dash until you get to the fourth block and grab the extra life. Note: Defeat the Boss and escape repeatedly to get a lot of lives.

Combo
Equip Ultimate Form, then use Buster Shot. Keep pressing Down/Forward + B (for Buster attack). Anything in front of you will be obliterated.

Equip all the EX-Skills. Dash and Z-Saber, then hold Up and Z-Saber, and hold Down and press Z-Saber.

To Equip Chain Rod as R and Z-Saber as B, hold B + R until they fully charge. Then, release B then R. Note: This is a close range attack.