ALL EIGHT CHARACTERS HAVE BEEN FOUND.
There's one on each main stage which includes Mines, Jungle, Ice Caves, and Temple. These characters will randomly show up in coffins as you play through each stage, one per stage and the color unlocked seems to be random.
Going by color since they don't have a name, you can unlock LIME, YELLOW, LIGHT BLUE, and PURPLE characters in this fashion.
Furthermore, the jungle warrior (BROWN) character is unlocked by beating the game the first time.
Super Meat-Boy (RED) is unlocked via the worm level, which one may reach by attaching a damsel/dude/pug to one of the sticky orange blobs (worm-tongues) found in jungle and ice cave levels, and then waiting (still yourself stuck to the blob) until the screen rumbles and a giant worm appears, swallowing anything still stuck whole - taking you to the worm's insides. SMB will be found near the very bottom. You know you're getting close when you pass the Crysknife, a permanent (for that run) whip upgrade located at about the halfway point in an extra large acid pool.
CREDIT TO MOKMOOF:
The BLACK character is found on the Haunted Castle level, which is accessed via the Jungle during the "The dead are restless!" event. Locate the tombstone with the crown on it, there is a skull with a crown atop it visible below the tombstone. Place a bomb where you found the skull to reveal the entrance, located two blocks beneath! Once inside, the easiest method to obtain the character would be climbing the top of the castle to the far left and bombing your way inside to the coffin. Otherwise, prepare to face the Black Knight and his mighty Shield!
CREDIT TO SNAPDRAGON:
The final character, Yang (from the tutorial) is unlocked by rescuing him from the Hell area. Getting there will be no easy feat, requiring you first to complete the steps to get to the City of Gold, and from there grabbing the Necronomicon, defeating the book's evil guardian, destroying Olmec, and then locating the door to hell itself somewhere above the lake of lava the final boss fight takes place above. Best of luck!
(it's been pointed out that the book will flash similar to the eye when above the door, and you MUST stand on dying Olmec's head to be able to enter said door!)