From Dustin's Sega Saturn Page
Endgame Bonus Options Upon completion of Virtua Cop in normal mode, you gain access to the following options.

Ranking Mode - like in Virtua Fighter
Free Play - Unlimited continues
Mirror Play - The scenery and bad guys are flipped horizontaly

Tip
If you aren't good enough to complete the whole game to get the extra options, keep pausing and unpauseing as you play the game. It takes longer, but it's easier to hit the enemies this way.

Play Ranking Mode
When the Sega Logo appears on the screen, then hold down C on the joypad and push Up, Down, Left, Right any you will have the ranking mode.

Gain more name entry time
To gain more time on the name entry screen shoot the backspace button 20 times and your time will refresh to 99 seconds.

Keep the Target on the screen
If you start the game with the regular controll pad and go through to the begining of the game, pause it and switch the control pad with the stunner. Then you will have the target up on the screen like you do with the regular control pad.

Watch the ending
On the first stage, after the last enemy has appeared and before the boss hold down buttons B X and Z on the Second Player Pad. Keep them down untill you beat the boss. After the boss has been defeated you should be able to watch the ending after he dies.

The Real Gun Select Code
Wait at the title screen for about 30 seconds and the game logos will appear. At the SEGA logo hold down C and the press Up, Down, Left, Right. You should hear a gunshot. At the AM2 logo hold down C and press Down, up, Right, Left, Up, Up, Left, Right. You should hear another gunshot. Now go to the regular options menu, there should be 3 small arrows at the bottom of the screen. Highlight these arrows and press start. Choose Gun Select On, then during the game pause the game and shoot off screen to cycle through the various screens.

Another Gun Select Code
At the white Sega Logo Screen, after waiting a while at the badge where it says press start, the screen goes white and the sega logo happens, then right after it the am2 logo. Right as the screen goes white press and hold C, then on the D-Pad press u, d, l, r, d, u, r, l, u, u, l, r. Then you hear a gunshot. Press down from the exit option on the options menu to access the secret menu.

Mystery Code
After you perform the Rankink Mode code & the Gun Select code while still holding C press Down, then Up. That's it! I'm not sure what it does, but it makes a cool gun shot noise like the other codes. OH YEAH! You have to do it at the Sega & Am2 logos. It might just be a defect or accident or something though.