By doing certain events throughout Risk of Rain, you can unlock new characters, other than the commando.

Character	How to unlock
Acrid	Find Acrid in Sunken tombs, and defeat him.
Bandit	Pass Stage 3 (Sunken tomb, or Frozen tundra).
Enforcer	Defeat the Magma worm, Collosus, and the Wandering Vagrant (Can be seperate playthroughs).
Engineer	Buy 40 Drones.
HAN-D	Open HAN-D's container on USS Contact Light (final level).
Huntress	Collect 15 Monster logs.
Mercenary	Beat the game 5 times on any difficulty.
Miner	Defeat the Direseeker in the Magma Barracks (Level 4).
Sniper	Beat the game on any difficulty.