When choosing Zanza on the character select screen, hold Select. Then, Zanza's Zanbato sword will be available for use.
Play as Kaoru
Beat the game in story mode or vs computer mode to choose Kaoru as one of the fighters.
Play as Saito Hajime
Beat the game on the hard difficulty setting to play as Saito Hajime. You will also be able to view all the FMV sequences in the game.