Here is a way to play as the hidden boss Zankuro! To
select him, choose Vs. Mode and go to the Character
Select Screen. Hold down the Start button and 
highlight the following characters in order: If your
player 1 you should already be on Haohmaru, and then
go to Ganjuro, Basara, Kyoshiro, Ukyo, Rimruru, 
Haohmaru, Shizmaru, Nakoruru, Hanzo, Amakusa, Gaira,
Galford and then Shizmaru. Keep holding Start and 
then press X and Circle at the same time. If done 
correctly, Zankuro will appear as a selectable
character.