All stages:
Complete the game to unlock all stages.
Boss Battle mode:
To unlock Boss Battle mode, collect the 10 Snow Boys in any stage to unlock Boss Battle mode for the boss of that stage.
Hard difficulty:
To unlock Hard difficulty, beat the game and view the ending sequence. In Hard difficulty, snowmen and blue caps will shoot fireballs at you after dying.
Snow Boys location:
To reveal the location of the Snow Boys, use Blizzard attack at an area with light snowfall.