You cannot skip any intermissions or the game will not count that level. However, you can skip the dialog at loading screen. You must complete every DLC level with only one characterm but you can use different character for each level. You also have to to complete WiiU bonus level, "Dwarven Caverns". You can change characters at the start of any level as long as you do not move. However the safest method is to change characters then restart or select the level to be played. You do not have to play all the levels in the same session. If you lose a life, pause game play and select the "Return to Last Checkpoint" option. This can be earned in co-op mode, however all players must use the same character; "Character Mode" should be set to "Unlimited". You can complete any level with any character except "Brackenridge Rise" and "Dwarven Caverns" (WiiU bonus). Those two levels must be completed as Amadeus.
