Do the following achievements to enable the desired effect:
Special mode: complete the game
Morgenstern bat: complete the game, then start another game in special mode
Laser-sight pistol: complete the game on the normal or higher difficulty setting, then start another game in special mode
Alternate costumes: complete the game, then start another game in special mode
Alternate menu background: complete the game
Gallery 1: complete the game on the hard difficulty setting
Gallery 2: complete the game in special mode
FMV sequences: complete the game