Enter 3 Groundhogs (found towards the end of the name entry list of characters) as a name to unlock an extra menu at the options screen and 44 levels. The extra options are:
Riki's shot trail thickness: Normal (thin), Thick
Mami's shot trails: Normal (thin), Thick, Large Missile and Thick (Nintendo 64 style)
Explosion Fragments: Normal, None, Heavy
Background: Normal, None, ?
Invincibility: Off