Fight as EX version of character:
Highlight Andy, Tung Fu Rue, Billy, or Blue Mary on the character selection screen. Hold Start and press B(2), C(2). While continuing to hold Start, hold B, then hold C. With all three of those buttons held, press A or Z to select the character.

Bonus FMV sequence:
Successfully complete the game under any difficulty level. Allow the ending sequences to complete to view a music video of the song "Blue Mary Sings The Blues".