Unlockable Characters
To unlock characters complete the following:

Play as Patty:
Successfully complete Chapter 1 to unlock Patty.

Play as Rhombus:
Successfully complete Chapter 2 to unlock Rhombus.

Play as Vault Dweller:
Successfully complete the whole game.

Unlockable Videos and Pin-Ups:
To unlock a level's cut-scenes, simply complete the chapter. Once you fully complete the game, you can access pin-up photos, and tons of concept art in the Bonus option of the main screen.