Are there any?: Yep!
Where are they?: The Super Stars trilogy all have interlinking codes. You can find them in the games.
What do they do?: Aha! Don`t you wish you knew!
Will you tell me them?: *corrie and arrow grin evilly*
What? And ruin all our fun? What`s the point in programming games if you can`t irritate people with impossible codes?!
Furthermore they have to be just about the worst kept secret in history as it is anyway!