Harder Difficulties
You can unlock two harder difficulties: the "master/very hard," and "chaos/hell" levels. To unlock the master difficulty, simply clear Musou mode with any one character. To get the chaos difficulty, you must beat Musou mode with Wu, Shu, Wei and any other character of your choice.
Level Up Rewards
Each character has a second unique costume. To unlock that costume, raise the character's level to 25 in any mode you want. This is true for every character in the game. You can also unlock a voice gallery, which can be found in the Camp, for each character by raising that character's level to 50.
Hidden Characters
Clearing the game in Musou mode with three different characters of a given class will unlock two characters in that class. For example, beating Musou mode with three Shu characters will unlock both Liu Bei and Zhuge Liang. Finishing battle objectives with multiple characters in a class will also unlock characters. You can get Pang Tong by completing three battle objectives at the Cheng Du battle and keeping battle Pang Tong alive.
The Best Weapon
Enter HeiFei New Castle on Hell difficulty with two players. Have the first one be a maxed-out LuBu and the second anyone that needs weapons. Give both a fast horse with the ability to acquire weapons. Have the second player jump into the pool--no one will attack you if you are in the pool. Have the first player get the HuaTuo Balm and attack SunQuan. If you do so in under a minute, you will receive the best weapons for each character.