Alternate ending sequence in Metal Slug 4:
Once you defeat the final Boss, you will go to another room where you must run from explosions. Instead of getting away, let yourself get killed by the explosions and the ending sequence will be different.
Art gallery in Metal Slug 4:
Successfully complete the game to unlock the art for that character in the gallery.
Stuck in zombie level in Metal Slug 4:
When you are in the level with the zombies, and you turn into a zombie, you will be stuck if you do not have grenades. There is a green box for equipment which gets in your way. You cannot destroy it with crouching because zombies cannot crouch. You must wait the delayed 60 seconds until time runs out, then your player just dies. He respawns as a human and you can now continue the level, but with one less life.