Fairly easy achievement, though it is time consuming.
You will need to:
a) Complete Story Mode to unlock the ability to play the Deadpool Bonus Levels;
b) Have at least 175 Gold Bricks total to open the most expensive Bonus Level; and
c) Have 925,000 studs to pay for the unlocked figures.
1. Sandman - Unlocked after completing the first level "Sand Central Station", he will set you back 175,000 studs.
2. Doctor Octopus - Unlocked after completion of the second level "Times Square Off", he will set you back 150,000 studs.
3. Kraven the Hunter - Unlocked by completing a targeting puzzle in Central Park. The spot is near one of the ponds and you have to stand on a platform and shoot stationary targets across the water (sorry if the description isn't helpful). Once unlocked, he will set you back 150,000 studs.
4. Vulture - Unlocked after completing the Deadpool Bonus Level "Nuff Said" located at Marvel Headquarters. I can't remember if this is simply open after finishing the story or if it requires a certain number of gold bricks. If it requires bricks, then it doesn't take very many. At any rate, he'll set you back 150,000 studs.
5. Electro - Unlocked after completing the Deadpool Bonus Level "A Shock Withdrawal". Though I can't remember the exact location of the level, it's in the financial district and its icon is the one that has the yellow circle with folded LEGO dollars in it. You will need 75 Gold Bricks to open it, however and once unlocked, he'll set you back 150,000 studs.
6. Mysterio - Unlocked after completing the Deadpool Bonus Level "The Thrill of the Chess" located out on the prison island (a.k.a. The Raft). You will need 175 Gold Bricks to open the level and, once unlocked, he'll set you back 150,000 studs.
During the campaign, the figures can be purchased from the vehicle spawning hubs scattered around the city (and the Helicarrier). After finishing the campaign, they can be purchased straight from the character selection screen which can be accessed by holding the Y button.