Hold the R button over certain fighters to unlock:

Ryu unlocks Zero
Chun Li unlocks Demitai
Dhalsim unlocks Dan
Bison unlocks V. Ken
Vega unlocks Shin Akuma
Kyo unlocks Geese
Terry unlocks Mars People
Ryo unlocks Goenitz
Kim unlocks B. Iori
Katsumi unlocks E. Mr. Katate