Unlock Ultra-Nightmare Mode:
This feature for the Story Campaign mode is available from the start, but to unlock it you must play through the game on any difficulty setting up to the end of 'Mission 6: Into the Fire'.
Unlock New Game Plus:
Complete the Story Campagin mode once to unlock a feature that is similar to 'New Game +' where when you complete a mission you will be given the option to 'Continue'. Doing so will allow you to keep ALL your upgrades on subsequent playthroughs.