All music mode: 

At the height selection screen in arcade mode, 
shake the left maraca high 15 times quickly to
unlock all songs (if you are using a regular 
Dreamcast controller, hold the left maraca high
button).


Random mode: 

At the difficulty selection screen (Hard, Normal,
Easy), shake the left maraca low 15 times quickly
(if you are using a regular Dreamcast controller, 
hold the left maraca low button).


Super hard mode: 

At the difficulty selection screen (Hard, Normal,
Easy), shake the left maraca high 15 times quickly
(if you are using a regular Dreamcast controller, 
hold the left maraca high button).