To earn the honor of playing as Gyn (Killer Sergeant), set the difficulty to Expert and beat the game in Story mode as any character.
Fight as Ray
Enter the options screen and set the difficulty to hard, and choose two round mode. Then, successfully complete story mode with Hana. Ray may now be selected in any mode except for story mode.
Fight as Zorr
Enter the options screen and set the difficulty to hard, and choose two round mode. Then, successfully complete story mode with Juie. Zorr may now be selected in any mode except for story mode.