Here's the code for using five other 'Sleds without having to beat the
game (excluding the last boss = Landmaster). 

While the title screen is showing, on controller 1 key in Up, left, down, 
right, up, triangle, up, right, down, left, up, circle. Listen for the 
explosion. After that just go to the character select screen. BTW, this 
game isn't as terrible as some people have said it is. The loading time 
is somewhat annoying at about ten seconds, but otherwise it is a pretty 
faithful replication of the arcade version. If you liked that, then this 
should be worth checking out.

Dr. Donut, Tokyo