Anita from the Darkstalkers series is a playable character exclusive to the Japanese version of the game. She was originally used only for testing purposes, but was soon added in the home console versions of the game. With the use of hacking tools, she can be playable in the U.S. version, although she lacks a name tag, quote, character portrait and ending, who instead borrows everything from Thanos.

In addition, Anita's moveset is glitchy and features other cameos such as Akuma from Street Fighter, Mei Ling and Donovan from the Darkstalkers series.
Contributed by Tuli0hWut
Thor was not included in the game because Storm had similar abilites and was more popular at the time and because he was too powerful, which was seen as hard to adapt.
Contributed by Cavery210
Shuma-Gorath got in the game by the director of the game, after looking over the character files & picking the character with the most weird, eye-catching appearance — people were used to superhumans from X-Men, so they wanted someone unmistakably inhuman. When the director asked Marvel about adding Shuma-Gorath, they had no idea of the character's existence.
Contributed by Cavery210