
Originally Posted by
Orangepixel
Ah, well in every world there is a character you can rescue, you don't pay for them, they are in a cage, you shoot the cage, and they are released and show up in the title/menu screen as selectable characters and serve as "checkpoint" kind of things.
You can only unlock them in one-player mode, and Sly Rocko is located in one of the buildings (from top of my head it's the first building in level 2 of the jungle).
Once you unlock him, you can play with him and always start in world 2, and try to get to world 3 where the next dude can be found/rescued..
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