Unlock Cervantes:
Complete the eastern mission of Chapter 3 in Weapon Master mode. The last stage will pit you against Cervantes. Defeating him allows you to play him in all modes.
Unlock Characters in Weapon Master Mode (Import):
Play through Weapon Master mode to unlock characters, modes and stages. As you beat a character in Weapon Master Mode, that character will be unlocked for use in other modes. Unlockable characters include:
Cervantes
Charade
Lizard Man
Seung Mena
Yoshimitsu
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.