There are six secret/unlockable characters in the game.
On GGPO, these are most easily obtained by using the savestate linked in the channel MOTD - this savestate is effectively required to play in GGPO as without it, your game will de-sync when you attempt to play versus someone else.
In the arcade version of the game, they can be unlocked by going to the service menu (F2 in FBA), then Configuration, then Game, and pressing the following sequence:
Up, Down, Right, Left, A, B, C, S (All entered using P1 controls)
Proper entry will be confirmed by the WRRYYYYYYYYYYYYYYYY sound.