Level select
At the main menu, enter the following combo:
Square, L2, Square, R2, Circle, R1, Circle, L1, L2, R2, Circle, Square.
Infinite ammo and health
During gameplay, make sure you have a gun and health kit in your inventory then with the game paused, enter the following combo:
Square, Circle, L2, R1, R2, L1, Circle, Square, L1, R1, L1, R1.
The Greatest Escape mode
This mode is unlocked after you complete the game. This lets you play any level with a time limit. Alternatively the level select code usually unlocks this mode too.
Get all FMV sequences
At the main menu, entering the following combo:
L2, L1, Square, Circle, Circle, R2, R1, Square, Square, Circle, L1, R1.