Collect the indicated amount of coins in Tour mode to unlock the corresponding set list.

Tour Set List 2 (Heal The World and Bad): 6 coins.
Tour Set List 3 (The Way You Make Me Feel, Don't Stop 'Til You Get Enough and Black or White: 13 coins.
Tour Set List 4 (Wanna Be Startin' Somethin', Streetwalker, Leave Me Alone and Smooth Criminal): 25 coins.
Tour Set List 5 (Beat It): 41 coins.