So far I have managed to unlock the Major, which in itself is a MAJOR boon because he's got the machine gun, 6 hearts, AND a damage upgrade right off the bat. He kicks some major butt on the bosses especially the ones that like to fly off and spam trash mobs.

You unlock characters by going into these doors that look they're a bit rotten and in shambles, look for some black spots in the wood. You'll also notice a sign written in red that states "Danger. Don't go in here". Inside you'll find a cage with a locked character. Use a bomb to free him from his cage and in your next playthrough he'll be selectable.

I am unsure about the other characters because I have gone as far as level 90, encountered a few of those prison rooms and each one has already had a broken cage but no one inside the room. I am not sure about the spawn rate or what is used to ensure that the other characters spawn.