What exactly do I need to do to unlock all of the characters?

I've already bought all the characters I think you can buy and I've unlocked The Apprentice, Algol, Angol Fear and Ashlotte.

What else do I have to do?

Play story mode a few more times for a few more characters to unlock

Alright, but I can't find any info on what characters to play in order to unlock certain characters =)

If you are after the 'Gathering of the Best' achievement on the 360 version, you need to go into Chain Of Sould in order to get it. You might already have all characters unlocked, just haven't unlocked the achievement yet?

Just keep going through single player as majority of standard characters than go through arcade as yoda and you get it.

I know you have the play the story mode as Cervantes to get Shura, and Nightmare and Kilik should get you two more characters.