Walk Through Walls:
At the main menu hold R2 + L1 + Circle + Square and press Select.

Invincibility:
Press Start to pause game play, then hold R2 + L1 + Circle + Square and press Select. Select the "Cheats" option to access an option for unlimited lives.

Level Select:
At the main menu, highlight 'New Game'. Press and hold L1 + R2 + Circle + Square + select. Highlight 'New Game' and press Right to select your level. Press X to go to the level you've selected.

Hints

Save Continues:
I found that when you save a game you also save how many continues you have. When you get to a save point in the game and are almost dead the best thing is to save the game where you are press start, exit the game, then reload your game you start right where you saved it last but with full health so you can hopefully make it to the next save point without losing a continue.

GameShark Codes

Enable Hero Unlimited Live in Cheat Menu        
800ab4280001 
 
Enable Unlimited Power Up in Cheat Menu
800ab4380001
   
Enable Display Hero Live in Cheat Menu
800ab4480001
   
Enable Unlimited Continue in Cheat Menu
800ab4580001 
  
Enable Kill Enemy in Cheat Menu
800ab4680001 
 
Turn on Enemies Take No Damage From Axe Cheat ONLY
800b910a0011
   
Turn on Unlimited Power Ups on Pick Up Cheat ONLY
800b910a0012
   
Turn on Display Hero Life Cheat ONLY
800b910a0014
   
Turn on Infinite Continues Cheat ONLY
800b910a0018
   
Turn on 1 Hit Kills Enemies Cheat ONLY
800b910a4010
   
Turn on Infinite Health, Unlimited Power Ups, Display Hero Life, Infinite Continues, and 1 Hit Kills Enemies
800b91088802
800b910a401f
  
Press Select+X At Main Menu For Level Select
d01fcedebffe
800b93000001
d01fcedebffe
801fff040001 
  
Press Select+L2 During Game to Activate Debug Mode
d01fcedefefe
800b92f01fff
  
Infinite Health
800b91088802