Unlock Cervantes
Complete the Eastern mission of Chapter 3 in Weapon Master mode. If you can beat him in the last stage you will have unlcoked hime as a playable character in all modes.
Unlock Seung Mina
In chapter 6 of weapon master mode, a palace icon will be in the middle. Fight Seung Mina there, win, and unlock the Korean princess for play in all modes.
Unlock Sophitia
When you tire of playing with her little sister, you can unlock a playable Sophitia by whacking her silly in Weapon Mode.