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Rollerblades
The speed effect is the most difficult one to get. To unlock it, you have to interact with 5 different NPCs - the Cool Kidz Gang - in different locations. After talking to all of the NPCs you'll get the effect. The NPC locations are:

Cool Emoticon: found in the main square of the Virtual Plaza world, that you can access through the Nexus.

Cool Banana: found in one of the stores in the Virtual Plaza world.

Cool Ghost: found in the Marginal World, that you can access through the Virtual Plaza.

Cool Flower: found in the Sweet Meadows, that you can access through the Orchids World.

Cool Sibling: found in the Station, a secret map that you can access throught the Metro World (see Secret Map info below for instructions on how to access it).

Cape
Enter the Virtual Plaza world through the Nexus and go up the path towards the floating head. Touch the floating head and you'll be teleported to the Marginal world.

Go up and to the left in the grass path. Cross the bridge and go left towards the roses. Approach the cat and the Fishing Event will start. After the event, interact with the glowing sparkle on the floor to receive the effect.

Spiral
Go to the Metro world through the Nexus and walk left until you see a group of shadows with a girl in the middle. Interact with the girl to be teleported to the Chapter world. You'll have to find a floating head running around in the map to receive the effect.

Uni
Enter the nexus and go to the Metro world. At the bottom of the map there is a green path. Touch it and you'll arrive at Orchids world. Go up and to the right to reach the Sweet Meadows entrance, between two colorful children.

Enter the Sweet Meadows map and clear all the tiles in the center of the map to get the effect.

Prince
Enter the Nexus and go to the Metro world. Unlock the access to the secret area following the instructions in the below section to arrive at the Station map. Go all the way down until you find the hole in the wall. Interact with the hole to see a little scene and enter the Hole map.

Follow the path in the map all the way down to see an event and the effect will be automatically unlocked after it.

Secret Map Guide
To unlock the secret map is actually pretty simple. Enter the Metro world through the Nexus. You'll spawn right next to the Blue Line in the map, going vertically.

Go up until you find the beginning of the Blue Line. Starting from the tip of the Line, walk on it all the way down. As soon as you reach the end of the Line, you'll be teleported to the Station, the secret map.

Here you'll find the Prince effect and the last Cool Kid to unlock the Rollerblades effect.

Emoticon Army
Go to the Virtual Plaza world. Up and to the left there's four doors. Enter and exit the second door (the purple one) repeatly to unlock the event.

Fishing
Enter the Marginal world through the Virtual Plaza. Follow the grass path up and left until you arrive at a bridge. Cross the bridge and go left until you reach the roses. Walk towards the cat to trigger the event and unlock the Cape effect.

Rain
Use the Cape effect to make it rain in the Marginal world, and go see the Ghost Picnic.

Cursed Sofa
(This event has a random chance of 1/13 of occuring. The chance to trigger the event is randomly calculated every time you enter the Nexus.) 

Go to the Paint world. Walk down and to the left you'll see a house. Enter the house and sit in the sofa to trigger the event.

Yaranaika
(This event has a random chance of 1/50 of occuring. The chance to trigger the event is randomly calculated every time you enter the Nexus.) 

Enter the Metro world and interact with the girl to teleport to the Chapter world. On the bottom of the map there's a giant man. His face will change if the event is triggered.

Bird
Enter the Paint world. Interact with the sign to go to the Overlook Garden. If you walk always up and to the right you'll eventually find the middle of the maze.

From there, go up, right, and down the flower path to reach the Birdhouse Man. Interact with him to see the event.

Game Over
Go to the Metro world. Unlock the secret map and go all the way down the Station until you see the hole in the wall. Interact with the hole to teleport to the Hole map.

Follow the path all the way down to unlock the event and the Prince effect.

Window Skin Guide
Currently there's only two unlockable options in the game.

Retro Pink Window
Go to the Virtual Plaza world. On the first door to the left there's an NPC, Cute Sibling, that'll give you the new sking when you interact with them.

Retro Yellow
Enter the Paint world. Go down and to the left until you find the Yellow Gnome. Interact with the NPC to unlock the skin.