Music Videos:
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Complete on each of the difficulty settings to unlock the music videos.
Laser sighted pistol:
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Complete on Normal and the first gun you pick up will be the laser pistol.
Mace:
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Complete on Easy for a big stick with nails in it.
Morgenstern Bat:
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Complete the game, then start a new game in special mode.
New outfits:
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For every character that survives to the end a new outfit will be unlocked for that character.