Complete the first couple of missions and Zurg will be available in Al's Toy Barn. Purchase him, then a Zurg pod will be in Slinky's Corral. Enter it and, when you come out, you will be Zurg.
The following weapons can be unlocked in the shop by performing the actions below.
UFO Gun Unlock in Story Mode / Available after the
Cow Cannon Unlock in Story Mode / Available after the