Pause the game and press L1, R2, L2, R1, SELECT. This only applies to the character that you have selected; your other teammates can be killed.

To unlock all missions, go to the title screen and press X, L2, TRIANGLE, R2, SELECT.

Beat the first twelve missions in campaign mode to unlock the twelve heroes in quick mission and campaign mode. The soldier’s weapons are also available in multi-player mode. They are:
Henry Ramirez
Nigel Tunney
Will Jacobs
Jack Stone
Guram Osadze
Susan Grey
Klaus Henkel
Buzz Gordon
Lindy Cohen
Astra Galinksy
Scott Ibrahim
Dieter Munz.

To unlock all special features, press L1, L2, R1, R2, X, SELECT at the title screen.