To get the absolute worst ending, complete all 3 options in the Training Mode before tackling the main game.
To get an alternative good ending, complete the game and as Billy and Anabelle hug, press and hold Up & Select. If done right, the ending text will be different. It might not look different if you don't know Japanese, but the dialogue is in the Kansai dialect.
When you rescue Annabelle, you have the option of moving around while she comes out. If you avoid her by running in circles, she'll get sad and you'll get a bad ending. This was removed from the USA version.
In any stage after stage 1, lose all your lives and don't continue to go back to the title screen. If done right, the Quiz mode will be available as the bottom menu option.