Enter the following at the Main Menu. You'll hear a sound to confirm proper entry:
Level Select - Down, Left, R1, R2, L1, L2
Unlimited Lives - Up, Down, Left, Right, R1, L2, R2, L1
Unlimited Super Bombs - Square, Square, Right, Down, Down, Left, Square, Triangle
Super Machine Gun - Right, Right, Square, Triangle, Right, Left, Down, Down
View FMV - Triangle, Triangle, Down, Square, Up, Up, Left, Triangle
Thanks to Revolution readers Andrew Wilkes and Richard Passero!