Warriors Three Achievement
Play as Fandral, Hogun and Volstagg in one sitting
Note: You must play as each character in a single session, meaning you can’t return to the main menu, play another game or turn your console off before spawning as all three characters.
Fandral and Volstagg are both unlocked automatically when you complete the level ‘Lost in the Aether’ (which is unlocked after you complete the final first Avengers movie level ‘Earth’s Mightiest’).
Hogun is also unlocked in the level ‘Lost in the Aether’ via a character token. You can collect it in either Story Mode or Free Play. In Story Mode, it is in the first “section” of the level (in the third area where you have to break down the door). Use Sif to put out the fires with her shield. In Free Play, he is located in the ‘Part A’ checkpoint. Once you’ve unlocked him, you can purchase him for 30,000 studs.
After you’ve unlocked all three characters, travel to any hub. When you land, hold to bring up the character grid (if you can’t do this yet, visit a blue or red platform). Then select one character to spawn. Repeat this process two more times for the remaining characters. Once you select the third character, the achievement will unlock.
Thanks to VGFAQ for the Hogun character token location (at 15m 25s):