Space Harrier: Enable shadows
First turn off the "Fractal" option at the options menu. Then, press Right, Left, Down, Up when your at the Space Harrier title screen. A sound will verify entry.

Outrun: Control music selection screen
Use these actions when your at the Select Music By Steering menus. Then hold L1 and press Left, Right, Up, or Down to move the camera's position. Then hold L2 and press Left, Right, Up, or Down to pan or rotate the camera's view.

Virtua Racing: Bonus cars

Classic (Handling): Finish a set after you have earned at least 251 possession points.
Coupe (Drift): Finish a set after you have earned at least 181 possession points.
70's F-1 (Acceleration): Finish a set after you have earned at least 51 possession points.
Prototype (Max Speed): Finish a set after you have earned at least 121 possession points.