In the Extras section there are 8 videos, all locked at the beginning. To unlock them all, you'll need to do the following:
-Obtain 1000 coins in Alex Kidd
-Get 20 magic power-ups in Golden Axe
-Get 20,000 points in Columns on Easy Mode
-Get 5 Yellow Stars in Ristar
-Play Phantasy Star 2
-Play Phantasy Star 3
-Play Phantasy Star 4
-Get a Chaos Emerald in Sonic the Hedgehog
Once these are done, watch every video to completion to get the achievement.