Leonardo - Raph-Splinter-Leo-Mike-Don. Hold L or R when selecting Leonardo at the character selection screen.

Donatello - Raph-Raph-Splinter-Leo-Raph. Hold L or R when selecting Donatello at the character selection screen.
Donatello Hero Costume - Don-Don-Splinter-Mike-Splinter. While selecting Donatello, hold R1 or L1 to get the costume. (Submitted by Jeremy)

Raphael - Splinter-Leo-Splinter-Mike-Mike. Hold L or R when selecting Raphael at the character selection screen.

Michaelangelo - Raph-Leo-Splinter-Leo-Splinter. Hold L or R when selecting Michaelangelo at the character selection screen.