For a greater challenge, hold L or R while selecting your character. This will turn the entire arena into a danger zone. How's that for a hot foot?
After you win a round, hold the A and C buttons. A "Play Back" arrow show appear in the Replay screen. Hold B to rewind the fight and release it to resume play.
Choose any character, then beat the game in Arcade mode with the default settings. Repeat this until you've beaten the game with all the characters.
For some nice screen shots and wallpaper, place the Dead or Alive CD in your computer and look in the "Omake" folder.
For extra costumes, finish the game on the default settings. On every level you can get up to 6 new costumes, including Kasumi dressed as a bunny, or with a sailor suit.