Cheats:
At the Main Menu, press B,B, X, X, Y, Y, X, X, L, L, R, R, Z. Now pause during play to access the cheats option.

Level select and all challenges:
At the Main Menu, press B, X, B, Y, B, X, L, R, Z.

All costumes:
At the Main Menu, press B, X, B, Y, Y, Y, L, L, Z.

All Cerebro files and FMV:
At the Main Menu, press B, X, B, Y, Y, Y, R, R, Z.

Thanks to Revolution readers Jordan Cameron and Martin Brodeur!