Spelunky has lots of secrets and unlockables. The levels are randomly generated so it’s impossible to pin-point their locations. Although, it is certain that the secret characters are locked inside the coffins and there are numerous ways to unlock these.
Sombrero Man, Hardhat Worker, Pirate and Adventure Hood
These characters are hidden at randomly generated coffins of the level Mines, Jungle, Ice Caves and Temple. You will find one coffin per stage.
Once you have beaten the game once, Jungle Warrior will be unlocked.
Man In Black
You will find his coffin in the haunted castle, to find the haunted castle you will have to go to the Jungle and then search for a randomly spawned tombstone. Below that tombstone is a skull, and you will have to blow it with the help of a bomb.
You should see the entrance to the Haunted Castle now, climb all the way to the top and search for the coffin in this secret level.
Note: You will have to fight some serious enemies in this castle!
Super Meat boy
The meat-boy is in the Worm Innards secret level. To get inside the worm you will have to make him eat you, attach a Damsel (dead or alive) to the sticky worm tongue in the Jungle or the Ice Cave.
If your procedure is correct, the screen will start to shake and after a couple of seconds, the worm will eat you. Usually the character is seen at the lower-most area of the level.
Yang is in Hell, and for going there you will have to visit the City of Gold first. When you have reached there, search for Necronomicon and defeat the boss. After that, you can search for the door to hell, which is located above the final boss’ lake of lava.