To unlock Cheat Mode, pause the game and press R1, R1, L1, R1, L1, L1, R1, L1, R1, R1, L1, R1, L1, L1, R1, L1. Now, a number of Cheats will be available from the Options menu:

Cheat Win
Clear Fog of War
Enable All Levels
Gimme $10,000
Player Invulnerable
Show LZs
Toggle Unit Spying