Everything is unlocked by doing the achievements EXCEPT Phantasy Star. To unlock Phantasy Star you need to beat the first boss with two players in Sonic 2. To do this all I did was select 1 player but with two controllers on and connected. Every few seconds in the game (probably works best when Tails in on the screen) press something like jump or move the analog stick. Once you get to the boss, I had both Sonic and Tails next to each other and jumped when the boss was in the right spot. After a few hits the boss will die and you will unlock Phantasy Star (or the achievement if you had everything else unlocked.