Go to the sound test screen by pressing Right, Left, Down, Up at the title screen.
From here, play sounds 7, 4, 3, 7, 4, 8, 1.
Press Button 1 after selecting each sound.
If done correctly, an optoin screen will appear that will let you turn into a JET and change the difficulty of the game.
View Final Boss
Hold Left at the title screen.
This should allow you to see "Haya-Oh", the last character in the game.