To make all the villain characters purchasable, you have to:
Finish all three episodes in Hero mode to unlock the Villain counterparts of the episodes.
Finish all three episodes in Villain mode.
Rescue all of the 25 civilians throughout the episodes in both Hero and Villain mode.
The reason why you have to rescue all 25 civilians is there is a villain character named Hush that unlike all of the other villains is NOT unlocked when you finish all of the episodes (Hero and Villain modes), and instead has to be unlocked by rescuing all 25 of the civilians.