Here's a link to a guide I made. It has a full story walkthrough and the details for all collectible locations.
http://www.gamefaqs.com/xbox360/722935-the-lego-movie-videog...At the bottom of the guide is a character list. You unlock all characters by simply finishing all the story levels. To purchase them all, you should first collect all the Red Brick stud multipliers so you can make lots of cash to buy all the characters.
You don't need to go find the characters to buy them. Simply hold Y to open the character wheel in the hub, choose the bottom option for the full character list, and you can buy them from there.