You can unlock eight danger room missions. You must get all the Sentinel files and Weapon X files with all the character.
Nightcrawler Danger Room
At the Cerebro Files Menu Screen, enter UP, UP, DOWN, DOWN, LEFT, RIGHT, LEFT, RIGHT.
Unlimited Health for Wolverine, Night Crawler, and Ice Man
When playing your mission, press start. Then hold all four buttons(L1,L2,R1,R2)and press up, up, left, right, up. Push start to get back in your mission. You should have unlimited health after that.
Unlock Danger Room Missions
There are eight danger room missions. You unlock the first three as you play through the game. To unlock the other six danger room missions, you must collect all Sentinel files and Weapon X files with each character.
Wolverine's Danger Room
Go to Cerebro and enter DOWN,DOWN,UP,UP,RIGHT,LEFT,RIGHT,LEFT.
X-Men: The Official Game Cheats Danger Room Unlocks
At the Cerebro Files menu, input the associated code to unlock stuff.