C3PO: Play the Raiders Of The Lost Ark: The Lost Temple level. Find the room that is sealed off by metal Lego pieces. Use a bazooka or grenade in Free Play mode to reach him.
Chewbacca: Play the Raiders Of The Lost Ark: City Of Danger level. Reach the last area of the mission where you change to a guard and get through the checkpoint where the truck is stored. At the back of that area is a hieroglyphic display. Have a Scholar character complete the puzzle. Go inside the newly opened door to find the Mos Eisley cantina. Chewbacca is behind a fence, and can be reached with a short character such as the Maharaja or Short Round.
Luke Skywalker: Play the Raiders Of The Lost Ark: Into The Mountains level. Search inside the cave somewhere in the mountains. Use a bazooka or grenade in Free Play mode to enter it.
Princess Leia: Play the Temple Of Doom: Free The Slaves level. Go to the second to last room. Go near the machinery on the far right-hand side of the room, then walk toward the screen to find the way down to her.
R2-D2: Play The Last Crusade: Desert Ambush level. When you start, go left, and climb up the mountain to the gold chest. Once you get the chest, follow the ledge to the left. You should see a brown whip point. Use Indy's whip to pull down a tube from a Sandcrawler. R2-D2 will appear from it.