All weapons, keys, ammo and health:
Pause the game. Now hold L + R and press A, B, B, A, A, A, A, A.

Level skip:
Pause the game. Now hold L + R and press A, B, A, A, B, B, B, A. Unpause to start on the next level.

Skip to level 9:
Pause the game. Now hold L + R and press A, B, A, A, B, B, A, A. Unpause to start on level 9.

Thanks to Revolution readers Adolf Wisener, Chris the nazi killer and kenny redman !