Kombat Zone Select
At the Character Select screen, highlight Sonya and press UP+START.

Play As Chameleon
At the Character Select screen, select any of the masked ninjas (Scorpion, Reptile, etc.) and hold BACK, LP and HP until the game begins.

Secret Options Menu
On the Options Screen, hold UP, RUN and Player 1 and 2's BLOCK until you hear the Explosion. Then, just select the "?" in the Options Screen.