All costumes:
Press X, L, X, L, X(2), L, R at the main menu.
All Cerebro files and FMV sequences:
Press X, L, X, L, X(2), R, L at the main menu.
Cheats option:
Press X(2), L(4), X(2), L at the main menu. Now you can pause gameplay to access the "Cheats" option.
Level select and all challenges:
Press X, L, X, L, X, L(2), R at the main menu.