The letters you collect can sometimes give hints on how to rescue other characters; one such hint is a letter titled "The Girl" which says the following:

"Don't worry, I put her cage in a safe place. If you ever need to find her, just climb up high above the wooden bridge near Denham. And don't try doing that wall-jump move of yours to get to her - you'll fall and break your neck!"

While not signed, if you do go to the bridge in Denham and make your way up, you can rescue Bandage Girl from the Super Meat Boy series, implying that the letter was written by Dr. Fetus and sent to Meat Boy, who is known for wall jumping in his series.