The Ultra Bar is the bar on the lower left hand corner with a number from zero to four next to a blue bar. Killing enemies fills it up. Sthomas, when upgraded with Fists O' Fury, can grant himself and a nearby Fighter >right> of him to fill up the Ultra Bar with just attacks. Also, Stick Jorge, when upgraded with Level Up, can increase the amount of levels whenever his power reaches a certain point (levels up). The ultra bar is unlocked after defeating the Ether Lord.
To fill up the ultra bar quickly, it's best to use Sthomas (with fists of fury) combined fighters capable of hitting multiple targets at once (Westick, Steric, Ben Stickobi, etc.). It's also a good idea to use fighters capable of quickly killing an enemy.