Level Select & Greatest Escape Mode:
At the main menu, press Y, R, Y, X, Y, R, X, L, X, X, X, Y.

Infinite Health and Ammo:
Make sure you have a gun and health kit in your inventory. Then pause the game and press Y, X, L, R, L, R, X, Y, L, Y, Y, R.

All FMV:
At the main menu, press L, L, Y, X, X, R, R, Y, Y, X, L, R.