Go to the main menu and press Up, Up, Right, Left, Down, Down, Start to get bonus costumes.
Get the following unlockables:
Classic Xmen Costumes: complete the game one time to get classic X-men costumes
Colossus Character: complete the Nuclear Facility Level
Beast - Ice Man - Jean Grey - Rogue - Storm Characters: complete the 1st Level
Gambit Character: complete the 3rd Level
Magma Character: complete Magma's 2nd training round
Jubilee & Nightcrawler Characters: complete the 2nd Level
Psylocke Character: complete the NYC Riot - Muir Island - Sewer Level
Emma Frost Character: complete the Nuclear Facility Level then in the X Mansion find Emma Frost
Play as Magma on Field: complete Magma's 2nd Danger room that Prof.X gives you
Artwork: get all 19 Sketchbooks to unlock artwork located in Colossus's room