Virtua Cop 2

Weapon Select

    Go to the second Options screen, set WEAPON SELECT on. When playing, pause, and shoot off screen with the light gun.

Character Select

    At the stage select screen press the following buttons to choose the character:

    Rage - Press X

    Smarty - Press Y

    Janet - Press Z

Option Screen 3 and Free Play

    Beat the game on easy, and these Free Play and Mirror Mode become available.

Big Head Mode

    Finish the game. An "Option Plus" menu shows up. One of the options has "???????" all over it. Play the game (not including continues) 58 times, and the question marks go away, and you'll be able to select Big Head mode.

Skip to the Last Boss

    At the stage selection screen, shoot the arrow pointing to the first level until time runs out. That should take you to the last boss (the airship bomb).
Shoot in this area and you'll be OK