Soul-Stealing Mode:
At the fighter-select screen, put your cursor over the random ? box at the bottom. Press Select, Select, Select, Select, Select, then press any button. Whichever fighter you defeat in the next round, you'll play as in the following round.
Puppet Mode:
At the fighter-select screen, put your cursor over the random ? box at the bottom. Press Select, Select, Select, Select, Select, Select, Select, then press any button. You'll have a different fighter for each fight, and you'll always fight the same character you're playing as.
Play as Evil Bishamon:
At the fighter-select screen, put your cursor over Bishamon, press and hold Select, then press any button to select Evil Bishamon as your fighter.