Fandral and Volstagg are both unlocked automatically when you complete the level ‘Lost in the Aether’ (which is unlocked after you complete the final first Avengers movie level ‘Earth’s Mightiest’).
Hogun is also unlocked in the level ‘Lost in the Aether’ via a character token. You can collect it in either Story Mode or Free Play. In Story Mode, it is in the first “section” of the level (in the third area where you have to break down the door). Use Sif to put out the fires with her shield. In Free Play, he is located in the ‘Part A’ checkpoint. Once you’ve unlocked him, you can purchase him for 30,000 studs.
Goto any hub, and then select each character and the achievement will pop.