Play as Sumo Santa
While holding L at the character select screen, press: A, C-Down, C-Right, C-Up, C-Left, B.

Play as Booger Man
While holding L at the character select screen, press: Up, Right, Down, Left, Right, Left on the joypad.

Play as Dr. Kiln
While holding L at the character select screen, press: B, C-Left, C-Up, C-Right, C-Down, A.

Random Character Selection
Hold down both L and R and a random character will be chosen.

Change Colors
Go to the Character Select screen. Highlight your character and press C-DOWN. Bad Mr. Frosty is the only character which can't have his color changed.