Cheat mode:
Hold Start and press Y, A, B(2), Y, A, X, B, X, B at the title screen.

Level select:
Enable cheat mode, then press X at the title screen.

Level skip:
Enable cheat mode, then press L + Start + Y during game play.

All items and weapons; full health and ammunition:
Enable cheat mode, then press L + Start + A during game play.

Invincibility:
Enable cheat mode, then press L + Start + X during game play.