Play a game up to battle mode. Quit the game and enter this code at title screen, B, A, L, L. You can now select your difficulty.
Erase the Records
To erase the old records and set new ones, press L,R,L,R at the title screen.
With this trick you'll be able to name your character. At the title screen, press L, A, B, L. The screen will fade out and a Name Entry screen will appear.
Play as Tornado
To play as the ST Tornado without beating the game first, press B,A,B,Y at the title screen.
NOTE: You have to train with the Tornado first.