Shdow Of roxas
In level 1, there will be a door you can click, and if you click it, the door will open and you will see zeo dancing. click him to unlock him.
As for the others, you find beleen in one of the levels(forgot exact level but i know its either 2,3, or 4) by floating past the sky in a spot where it lets you go as high as you want, you will see a pink sky with beleen. Click her to unlock her.
Gale Warrior is on one of the levels on a rooftop. Just look at all the rooftops. I think he might be on level 5. But i'm not sure. but if you find him, just click him to unlock him.