Level select:
Pause the game, hold L1 and then press Triangle, Up, X, Down. You should hear a gunshot. Then Exit to return to the main menu with this new option.

All Weapons:
Pause the game, hold L1 and then press Square, Circle, Up, Down, X, Square. You should hear a gunshot. Return to the game and you will have all weapons.

Infinite lives:
Pause the game, hold L1 and press Triangle, Circle, X, Square. You should hear a gunshot to confirm proper entry.

Invincibility:
Pause the game, hold L1 and press Up, Down, Left, Left, Triangle, Up, Right, Down.

Debug Info Cheat:
Pause the game, hold L1 and press Down, Down, Triangle to enable the debug.