In the fancy-new mode, if you can beat a boss using only the Mega Buster/Rock Buster, you'll unlock that boss as a playable character!
Play as Blues/Protoman:
In challenge mode, beat all 100 challenges.
Charge shot/Slide mode:
Beat the game on normal difficulty.
Play as Mega Man C:
Beat New Style in normal mode.
Play as Rockman S:
Play as Mega:
Beat New Style in easy mode.
Beat all levels on hard mode to unlock Mega. He's the unarmed version of Mega Man and attacks with a kick.
Thanks to Revolution Readers james, Mr. Bass!!