Beat story mode as any character: Neji Hyuuga
Beat story mode as Neji Hyuuga: Hinata Hyuuga
Beat story mode as Hinata Hyuuga: Haku
Beat story mode as Haku: Zabuza Momochi
Beat story mode as Zabuza Momochi: Gaara
Beat story mode as Garaa: Orochimaru
Costumes
At the character selection screen hold L1 + R1 while choosing a character.