Unlock Wolverine's Danger Room Level:
Press Down, Down, Up, Up, Right, Left, Right Left, Start at the Cerebro Files menu.

Unlock Danger Rooms:
There are 8 Danger Room missions that can be unlocked. The first 2 become unlocked as you play through the game, the other 6 you need to collect Sentinel Files and Weapon X files with each character.

Unlock Nightcrawler's Danger Room:
At the Cerebro files enter Up, Down, Up, Down, Left, Right, Left.

Unlock Danger Rooms:
There are a total of 8 Danger Room missions. The first 3 are unlocked during game play and the the other 6 danger room missions you have to collect ALL the Sentinel Files and Weapon X Files with each character.