Every time you rescue ten prisoners, you will get a card.
You will get soldier cards when you kill 100, 200, 300, and 999 soldiers (for a total of four cards).
There is a card in the beginning of mission 4 called Type R. If you equip the card, your Metal Slug turns yellow and the gun moves in reverse. For example, if you are moving forward your gun will point in the opposite direction.
Even though you have an unlimited amount of lives, all of the things done before that will not count after you die; try not to die while fighting the Boss.