Unlock Dark Phoenix:
Beat Arcade mode with Phoenix to unlock Dark Phoenix.
Unlock Blob:
Beat Arcade mode as Bishop to unlock Blob.
Unlock New Costumes:
With any mutant beat Arcade mode to unlock the third costumes for everyone.
Unlock Everything
Press the following combination at the Main menu to unlock everything:
Up(2), Down(2), Left, Right, Left, Right, A, B, Start