The King of Fighters Ash Saga/Secrets

Characters (arcade/Neo Geo)
Press at the character select screen:

Characters (PS2/Xbox)
Defeat Adelheid and Mukai in Arcade Mode to unlock them. To face Mukai, defeat Kusanagi with a Super or Leader Super and he will show up as the final boss. To face Adelheid, defeat Kusanagi with any other move or a time-out. Once unlocked, they can can be selected by holding / over Kyo for Adelheid, or over Iori for Mukai.

Characters (console/PC)
Defeat Billy and Saiki in Arcade Mode to unlock them. Avoid Target Actions to face Billy, or do as many as possible to face Saiki.

Extra palettes
When selecting Andy, Elisabeth, Joe, K', Kyo, Raiden, Ralf, Takuma, or Yuri, press / before picking a color to access another 10 palettes.