Rondo of Blood is a bit of a special case. It's sort of the transition point between classic-style and Metroid-style games in the series. Each level has a normal exit and a hidden exit. Each exit leads to an entirely different following level, with different bosses. The fun part to it all is that the file-select screen allows you to start at any opened level, whether they be the standard route or the alternate route.
The reason you would want to do this is because Dracula has captured four girls as well as your alternate playable character, Maria. By finding the (gameplay-wise, absolutely useless) Key subweapon hidden in a level, you can find and unlock the cell they're being kept in. Add in this replayability to the already-stellar level design, and you've got a really great game. (I absolutely suck at classic-style Castlevania, but I still love this game!)
Now for some follow-up information on the game, if you're interested. There are currently two main versions of the game. The original game for the PC Engine, which is what the Wii version is a port of, and a PSP remake with 3D graphics, and more elaborate and detailed cutscenes. The PC Engine was designed to play games off of a disc, and the original game has a full CD quality soundtrack for everything, written well enough that I actually have most of the music on an MP3 player just to listen to. The PSP version, I believe, uses the same soundtrack rather than remake the music.
The original game also did cutscenes by playing a separate audio track alongside the video being played. I'm not sure if there was ever an official English version, but the PC Engine version of the game has a translation patch that will also add in English audio. The fun part to this is that beating the game with Maria instead of Richter uses nearly the same video clip, but a different audio clip with more spacing between lines to keep everything in sync. Considering Maria's dialogue has a few lines that are much shorter than Richter's, the resulting silence between her and Dracula's lines leaves an effect where Dracula seems speechless in humiliation at having not only lost, but having lost to an eight year old little girl.
If you don't mind emulators, I would actually recommend the original PC Engine version alongside the translation patch for that very reason!