Unlock the Terror difficulty by acquiring the Terror Medallion from one of the three Black Star enemies on Chapter 4, Area 017 under the Hard difficulty setting. Note: Use the Thief's Dagger to increase the chance of it to appear. After that, complete the game under the Hard difficulty setting with over 10,000 enemies killed.
To unlock Boss Only mode, acquire the Mysterious Button from D'Artagnan on Chapter 5, Area 002 under the Normal or higher difficulty setting. Note: Since the item may not be dropped from D'Artagnan, use the Thief's Dagger to increase the chance of it to appear. To activate Boss mode, press PAUSE at the title screen. You will then fight the Bosses of every chapter.
Unlock Nightmare difficulty by acquiring the Nightmare Medallion after defeating the Nightmare Of Legend in Chapter 3, Area 040 under the Fear difficulty setting. After that, complete the game under the Terror difficulty setting.
Find the music room key on Chapter 6 under the Normal or higher difficulty setting. It is located at the bottom-most part of the chapter, just before you reach the corridor with power-ups and enemies leading into the final Bosses. You can now listen to the game's music at the title screen.