Beast - unlocked after completing story level 8 (Juggernauts and Crosses).
Ice Man - unlocked after completing story level 8 (Juggernauts and Crosses).
Storm - unlocked after completing story level 8 (Juggernauts and Crosses).
Cyclops - unlocked after completing story level 7 (Bifrosty Reception).
Jean Grey - unlocked after completing story level 7 (Bifrosty Reception).
Wolverine - unlocked after completing story level 4 (Rock Up at the Lock Up).
Gambit - unlocked after completing the three Gambit events in the Manhattan Hub.
Archangel - can be found south of the X Mansion and south of the giant billboard.
Havok - can be found south of the X Mansion towards the west coast.
Polaris - unlocked after completing the bonus level The Thrill of the Chess.
Professor Xavier - unlocked after completing his three events at the X Mansion.
Psylocke - unlocked after completing then second Captain Britain mission.
Colossus - can be found at the X Mansion.
Wolverine (Cowl) - use the code OAW2LB or can be found in the bonus level Put Up Your Dukes during free play.