To unlock arenas, you have to win the indicated trophy in Season mode:
Backlash arena: Backlash trophy
Unforgiven arena: Unforgiven trophy
Vengeance arena: Vengeance trophy
Saturday Night Main Event arena: Superstar Challenge trophy
SummerSlam arena: SummerSlam trophy
No Mercy arena: No Mercy trophy
WrestleMania 22 arena: WrestleMania trophy
To unlock legend championships, you have to win the indicated trophy in Season mode (you can buy it at the WWE Shop then):
n.W.o. Championship: SummerSlam trophy for $3.500
Smoking Skull Championship: Royal Rumble trophy for $5.000
The Hardcore Championship: Superstar Challenge trophy
To unlock legends, you have to win the indicated trophy in Season mode (you can purchase the legend needed at the WWE Shop for $12.000 then):
Bam Bam Bigelow: Unforgiven trophy
Dude Love: SummerSlam trophy
Hulk Hogan: WrestleMania trophy
Mankind: SummerSlam trophy
Bret "Hit Man" Hart: Survivor Series trophy
Mr. Perfect: Backlash trophy
Shane McMahon: Armageddon trophy
"Stone Cold" Steve Austin: Royal Rumble trophy
"The Anvil" Jim Neidhart: Survivor Series trophy
Cactus Jack: SummerSlam trophy
The Rock: WrestleMania trophy