In Challenge Mode, some challenges are marked ???? by default to access them, you must meet the following conditions in Story Mode.

Unlockable	How to Unlock
Blade E	Reach Blade Man in Easy Mode
Blade H	Reach Blade Man in Hard Mode
Blade N	Reach Blade Man in Normal Mode
Block Devil E	Reach Block Devil in Easy Mode
Block Devil H	Reach Block Devil in Hard Mode
Block Devil N	Reach Block Devil in Normal Mode
Chill E	Reach Chill Man in Easy Mode
Chill H	Reach Chill Man in Hard Mode
Chill N	Reach Chill Man in Normal Mode
Commando E	Reach Commando Man in Easy Mode
Commando H	Reach Commando Man in Hard Mode
Commando N	Reach Commando Man in Normal Mode
Crab Puncher E	Reach Crab Puncher in Easy Mode
Crab Puncher H	Reach Crab Puncher in Hard Mode
Crab Puncher N	Reach Crab Puncher in Normal Mode
Nitro E	Reach Nitro Man in Easy Mode
Nitro H	Reach Nitro Man in Hard Mode
Nitro N	Reach Nitro Man in Normal Mode
Octobulb H	Reach Octobulb (Sheep Man stage) in Hard Mode
Pump E	Reach Pump Man in Easy Mode
Pump H	Reach Pump Man in Hard Mode
Pump N	Reach Pump Man in Normal Mode
Sheep E	Reach Sheep Man in Easy Mode
Sheep H	Reach Sheep Man in Hard Mode
Sheep N	Reach Sheep Man in Normal Mode
Solar E	Reach Solar Man in Easy Mode
Solar H	Reach Solar Man in Hard Mode
Solar N	Reach Solar Man in Normal Mode
Strike E	Reach Strike Man in Easy Mode
Strike H	Reach Strike Man in Hard Mode
Strike N	Reach Strike Man in Normal Mode
Suzak and Fenix H	Reach Suzak and Fenix (Solar Man Stage) in Hard Mode
The Keeper H	Reach The Keeper Man (Strike Man Stage) in Hard Mode
TriCastle H	Reach TriCastle (Blade Man Stage) in Hard Mode
W Archive E	Reach the first Wily Archive in Easy Mode
W Archive H	Reach the first Wily Archive in Hard Mode
W Archive N	Reach the first Wily Archive in Normal Mode
Wily Capsule E	Reach Wily Capsule in Easy Mode
Wily Capsule H	Reach Wily Capsule in Hard Mode
Wily Capsule N	Reach Wily Capsule in Normal Mode
Wily Machine E	Reach Wily Machine in Easy Mode
Wily Machine H	Reach Wily Machine in Hard Mode
Wily Machine N	Reach Wily Machine in Normal Mode