Play as Onslaught:

Beat the game with Ryu without losing a round and you should get Onslaught. He appears under Wolverine.

Play as Shadow Lady:

Beat the game with Chun-li and you should get Shadow Lady. She appears under Gambit.

Play as Mega War Machine:

Beat the game with War Machine and you should get Mega War Machine. He appears Zangief.

Play as Orange Hulk:

Beat the game with Hulk and you should get Orange Hulk. He appears above Ryu.

Play as Roll:

Beat the game with Mega Man and you should get Roll. She appears beside Mega Man.

Play As Hyper Venom:

Beat the game with Venom and you should get Hyper Venom. He appears above Chun-Li.

Play as Lilith:

Beat the game with Morigan and you should get Lilith. He appears under war Machine.

Shadow as a Tag Partner:

After beating the game with Chun-Li or Shadow Lady, highlight Iceman and press down at the character selection screen.

Sentinel as Tag-Partner:

Beat the game as Onslaught, and Sentinel appears under Colossus in the Special Partner screen.

Hints

Honda's Bathhouse:

First select Spider-man or Venom as your character. During the match execute a web throw and throw your opponent at the right side 2 times. At the second time the wall will break away. There you will find E.Honda's old stage.