This is a simple guide I just made so the users on this forum could have an easy time unlocking the characters in DW4. This is all done in Musou Mode.

Wei:
Cao Cao
(Initially Available)

Xiahou Dun
(Initially Available)

Xiahou Yuan
(Initially Available)

Xu Huang
(Clear Wei - Act I)

Dian Wei
(Clear Wei - Act I)

Xu Zhu
(Clear Wei - Act II)

Zhang Liao
(Defeat Zhang Liao in the Battle Of Xia Pi during Wei - Act III)

Cao Ren
(Clear Wei - Act III)

Zhen Ji
(Clear Wei - Act III)

Sima Yi
(Clear Wei - Act IV)

Zhang He
(Clear 11 Wei battles in Musou Mode)

Wu:
Sun Jian
(Initially Available)

Sun Shang Xiang
(Initially Available)

Huang Gai
(Initially Available)

Lu Meng
(Clear Wu - Act I)

Sun Ce
(Clear Wu - Act II)

Zhou Yu
(Clear Wu - Act II)

Taishi Ci
(Defeat Taishi Ci in Assault On The Wu Territory during Wu - Act III)

Sun Quan
(Clear Wu - Act III)

Zhou Tai
(Clear Wu - Act III)

Gan Ning
(Defeat Gan Ning in The Battle Of Xia Kou during Wu - Act IV)

Lu Xun
(Clear Wu - Act IV)

Da Qiao
(Clear Wu Tales - The 2 Qiaos)

Xiao Qiao
(Clear Wu Tales - The 2 Qiaos)

Shu:
Liu Bei
(Initially Available)

Guan Yu
(Initially Available)

Zhang Fei
(Initially Available)

Zhao Yun
(Clear Shu - Act II)

Zhuge Liang
(Clear Shu - Act II)

Pang Tong
(Clear Shu - Act II)

Huang Zhong
(Clear Shu - Act III)

Wei Yan
(Clear Shu - Act III)

Yue Ying
(Clear Shu - Act IV)

Ma Chao
(Defeat Ma Chao in Campaign For Cheng Du during Shu - Act IV)

Jiang Wei
(Make Jiang Wei Surrender to Shu during Shu Tales - Tian Shui's Prodigy)

Other:
Lu Bu
(Clear either the Wei, Wu, or Shu Musou Mode once)

Diao Chan
(Clear Lu Bu - Act I)

Dong Zhuo
(Clear Musou Mode with Lu Bu)

Yuan Shao
(Clear Musou Mode with Wei)

Zhang Jiao
(Clear Musou Mode with every Kingdom)

Meng Huo
(In Musou Mode during the Nanman Campaign, personally defeat Meng Huo all 7 times, including once in a duel)

Zhu Rong
(In Musou Mode during the Nanman Campaign, defeat Zhu Rong in a duel)