Successfully complete the indicated chapter in Story mode to unlock the corresponding character in Multiplayer and Quick Battle modes:

Cyrus (wizard): Successfully complete Chapter 5 (Nadia). Cyrus is equipped with the Staff Of Explosia, which damages units it lands on and then explodes for more damage three turns later.
Findan (elf): Successfully complete Chapter 1 (Anwen). Findan is equipped with the Swift Strike, which reduces charge time for all formations to 1.
Jezebeth (demon): Successfully complete Chapter 4 (Aidan). Jezebeth is equipped with the Wall Crusher, which explodes enemy walls and damage nearby units.
Markal (undead): Successfully complete Chapter 3 (Fiona). Markal is equipped with the Death March, which instantly charges all Elite and Champion units.
Varkas (human): Successfully complete Chapter 2 (Godric). Varkas is equipped with Elrath's Sword, which tears through the first two enemy rows.