You can unlock eight danger room missions. You must get all the Sentinel files and Weapon X files with all the character

Enter the codes in the Cerebro Files menu. The code can be entered using either the control pad or control stick:
Training mission for Nightcrawler - Up, Up, Down, Down, Left, Right, Left, Right, Start
Training mission for Iceman. - Right, Right, Left, Left, Down, Up, Down, Up, Start
Training mission for Wolverine. - Down, Down, Up, Up, Right, Left, Right, Left, Start

Comic Alternate Costume:
Collect all Sentinal Techs with a character to unlock his or her alternate comic costume.

Street Alternate Costume:
Collect all Weapon X files with a character to unlock his or her alternate street costume.