Pause the game and enter the following:

Unlimited health:
R, Left, L, Right, Up, Select, Left

500 bullets:
R, Left, L, Right, Up, Select, Right

Level select:
R, Left, L, Right, Up, Select, R

High pitched voices:
R, Left, L, Right, Up, Select, L

Thanks to Revolution readers kevin khoo and Lil_Dan!