Go to the title screen, and let the game run until the fighter-profile screens appear. Then press Z, A, R, Z, A, B.
You'll hear a laugh. When you start a game, the boss character Gargos is in the lineup of selectable fighters.
New Colors for Fighters:
Go to the title screen, and let the game run until the fighter-profile screens appear. Then press Z, B, A, Z, A, L.
You'll hear a laugh. Go to the character-select screen, highlight any fighter, and press Up.
There are now new colors: white, gold, and even a "shadow" color.