First you have to beat level 4 of the story mode. Second it's best to beat the entire story mode, so you can be any character to run around in Gotham. Third fly around town and activate all the Batcomputer tie-ins (red beam shooting into the sky for non activated ones) some need heat-vision for gold locks on them, and 2 need The Flash to re-build them.
Activating the computers removes the "fog" over the map, and reveals the villain for the area.
Joker is at Ace Chemicals (fun fact: this is where he was turned into Joker in the comics IIRC).
To get the good guys, you need to get a bunch of Gold Bricks, and then look for the "arches" on the map. Most are near the top of buildings, and again you need money (studs) to buy them.
The goon characters will come at you in certain areas. If you beat up a bunch of them the "leader" of them will surrender and you can buy the goon.
The Red Bricks are also spread over the city (Red Dot on the map when you scan) Most of them need one of these 3 characters to open: Lex Luthor (Yacht Club roof), Riddler (top of Wayne Tower), and Joker (on a roof near Ace Chemicals). 4 can be got with little mini-games (2 boat games, and 2 car games). Of course the more money (studs) you have the better.
Vehicles are the same way as well (except the ones from Mini-Kits & story mode (all of the Bat-stuff)).