Rock Lee - Beat Zaibuzan in story mode without using continues, and then beat Rock Lee when he appears.

Kyuubi Naruto - Unlock Rock Lee, and then beat the game with all characters. Now highlight Nartuto on the character select screen and press X or Z.

Sharingen Kakashi - Beat the game with Kyuubi Naruto, and then beat the game with Kakashi. Now highlight Kakashi on the character select screen and press X or Z.