Experience is needed to unlock new Characters. It is awarded on the death or level transition screen, and depends on the days survived. Each survived day adds 20 XP. Subsequent games add to the existing experience (Cumulative).
More than one character can be unlocked at once. For instance, if a player only has Wilson unlocked but earns enough experience to unlock Wolfgang, both Wolfgang and Willow will be unlocked.
(Turning off Reign of Giants on the start menu, you can choose different characters here - Makes surviving a lot easier as it rains less)
Hints and tips can be found here - http://dont-starve-game.wikia.com/wiki/Guides/Beginner