Just beat it normally. Unlocks Episode 2.
Good Ending: Find the 3 swords hidden swords in the first 3 stages then get the Zanmatou in the 4th stage, before beating the episode. Unlocks Final Episode.
Bad Ending: Don’t get Zanmatou and beat the episode. Unlocks Episode EX.
Just beat it normally. Unlocks Final Episode.
Normal Ending: Beat all the stages. Unlocks Zangetsu Modes for all Episodes.
Cleave the Moon: Beat only Zangetsu’s stage (the one without another character), talk to Alfred and then take the rocket to the moon. Unlocks Zangetsu Modes for all Episodes and Single Mode.