Aloha,
since a few more people recently bought SF4 I decided to link to a character-unlocker and alternate, mostly funny or cheesy, skins. Also, how to get rid of the terrible intro-music.

Unlocker
The character-unlocker can be found here (credit to Leogansky from shoryuken.com). First I will have to say that you might get banned for this in the future since it can unlock achievements (= free GFWL points) but I used it the week SF4 came out and I'm not banned yet- just dont blame me afterwards.
The second problem with this is, it sometimes corrupts your savegame.

So before you get started, go to "My Documents" and make a copy of the "CAPCOM" folder on your desktop (or whereever).
Now that that's done, launch SF4 and proceed to the menu with the terrible music.
Alt-tab and open the unlocker, use whichever options you want (spam each option a few times). Afterwards (if unlocking worked) try to force the save more than one time (e.g., change the sound volume, back, save, change the sound volume again, back, save, then exit to the grey entry screen and try to enter to the game lobby.) If it succeeds, the save is no longer corrupted, and everything is unlocked. If it doesnt, try again with your copy of the savegame you made on your desktop.

It's a pain but certainly less of a pain than playing through arcade-mode 5 zillion times.
As a tip, I wouldn't unlock the titles and icons, they're fun to unlock while playing against others online.
Lastly, there may be a more sophisticated unlocker out there but I didn't bother to look since this worked for me after a few tries.

Custom Skins
Who wouldn't want Mr. T or Hulk Hogan skins for Zangief?
This thread has them all.

Indestructible..
To get rid of the terribad music in the menu, go to X:\Program Files\CAPCOM\STREETFIGHTERIV\Game\Sound and replace BGM_MAIN_OM.csb with...whatever really.
If you put in a random mp3 it won't play ingame, so you got nice and quiet in the menu, I dig it. Or you could copy and rename one of the other .csb's in the same folder.

Hope it helps.