To unlock everything, go to the main menu, hold L1 and press RIGHT, RIGHT, LEFT, LEFT, DOWN, UP, CIRCLE
Get the following unlockables:
Dark Phoenix: complete Arcade Mode using Phoenix
Bishop: complete Arcade Mode using Gambit
Psylocke: complete Arcade Mode using Betsy
Bishop: complete Arcade Mode using Gambit
Blob: complete Arcade Mode using Bishop
Sentinel A: complete Arcade Mode using Cyclops
Character's 3rd Costume: complete Story mode using any character
Character's 6th Costume: complete 10 characters in time attack mode using any character in under 15 minutes