When you go to play Nighmare, in the bull section when the short cutscene play you can see the girl will bull horns and a bull tail.
Girl on Menu Screen Loses Her Top
Simply set the language to Japanese, and the girl mysteriously loses her top.
Happy New Year
If its January 1st (or if you change the system's clock), then when you go to the main menu screen, the girl will wish you a Happy New Year.
Hell Mode
To unlock Hell mode, beat Story mode on the Hard difficulty.
Merry Christmas
If you play your game on Christmas, The girl on the title screen will say "Merry Christmas!." If you can't wait, just set your current date to December 25.
NiGHTS Wig
Start Feel the Magic with either Chu Chu Rocket or Sonic Pinball Party in the GBA Slot.
Record Your Own Voice at the Title Screen
While at the title screen, hold Down + Y to record whatever you want into the microphone. It will now play back whatever you recorded at random intervals while the title music plays. However, if you wish to play it back immediately, press Down + X. Down-Left + X will play it back slowly, while Down-Right + X will speed it up.
Sleeping Audience Member Movie
After beating the game and watching the credits roll by, allow the entire theme song to finish playing. After the theme song has completely finished playing, the end of the credits will roll to the top screen and the bottom screen will show one single audience member in the movie theater who fell asleep during the movie. Touch that member to hear him snoring away.
Sonic Wig Start
Feel the Magic with either Sonic Advance or Soinc Advance 2 in the GBA Slot.
Sound Test
Successfully complete story mode on the normal difficulty setting to unlock the sound test option.
Talking Credits
When you beat the game and the credit roll through, touch the credits using the DS touch screen. Each section of the credits makes a different sound. An example would be the sound when you hear when you've collected a ring in Sonic games when you touch the Sonic Team logo.
Ulala hairstyle
Have Sonic Battle inserted into the GBA slot.
Ulala hairstyle
Have Space Channel 5: Ulala's Cosmic Attack inserted into the GBA slot.