The "Legend" achievement requires you to complete the game on insane difficulty.
This video also includes the following:
Teamwork: Simple as that, you need to score 10,000 points while attached.
Immortal: Coop is required for this, complete a level without dying or losing any allies.
Rookie: Score 30,000 points.
Exterminator: Destroy all enemies in a level.
Untouchable: Complete a level without taking damage.
Veteran: Score 100,000 points
Ace: Score 185,000 Points.
You'll also unlock the "Halfway Point" achievement once you complete mission 3 on any difficulty.
All credit goes to Francis Possa (salut allo) for his help.