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 options are:

Riki's shot trail thickness: Normal (thin)/Thick
Mami's shot trails: Normal (thin)/Thick/Large Missile/Thick (Nintendo 64 style)
Explosion Fragments: Normal/None/Heavy
Background: Normal/None/?
Invincibility: On/Off