Unlocking achievements will unlock most everything. To see what you need to do to Unlock everything, press Y at the main menu, and go over anything with a Lock icon on it, and it will tell you how to unlock it on the left side.
The only notable one is to beat the first boss of Sonic 2 with two players, cause it's not an achievement. Just start the game with two controllers, and press A on controller 2 during the boss battle once, and then kill the boss. It will unlock the only interview not linked to an achievement.