Since 2 of the 19 guest characters are already given to you, you have to unlock the other 17 characters that you can check in the last 19 spots in the Gallery. They are unlocked through various means during gameplay that also each get you an achievement. To check the Gallery, from the Main screen, select Gallery, then select Characters.
Shovel Knight from Shovel Knight (Do 10 Butt Pounds)
Rusty from SteamWorld Dig (Break 30 Breakable Blocks)
Juan from Guacamelee! (Land One of Each Attack)
Tostada from Guacamelee! (Land 5 Super Punches)
Swift Thornebrooke from Sportsball (Spend More Than 3 Minutes in the Air)
Scram Kitty from Scram Kitty and His Buddy on Rails (Taunt 20 Times)
CommanderVideo from the Bit.Trip series (Get 3 Medals in 10 Adventure Levels)
CommandgirlVideo from the Bit.Trip series (Get 3 Medals in 15 Adventure Levels)
Xeodrifter from Xeodrifter (Play a Level in Each Adventure Map)
Max from Mutant Mudds (Set the Fun type to Maximum)
Princess from Chariot (Beat 10 Adventures with a Friend)
Clone from Stealth Inc. (Get the Mimicry Power-up 10 Times)
Drifter from Hyper Light Drifter (Get the Swapper Power-up 10 Times)
Teslamancer from Teslagrad (Get Hit by Lightning 10 Times)
A.R.I.D. from The Fall (Fall to Your Death 20 Times)
Gunvolt from Azure Striker Gunvolt (Get Killed by a Laser)
Unity-chan the mascot of Unity Japan (Set the Fun type to Kawaii)
Click here for ALL required achievements pertaining to the above tasks
No requirements needed; already given:
Lilac from Freedom Planet (FREE)
Shantae from Shantae: Half-Genie Hero (FREE)