Level select:
Pause game play, hold L2, press Circle(2), Square, Triangle, R1, Square, Triangle, Circle, then release L2. 

All weapons:
Pause game play, hold L1, press Triangle, R1, Triangle, Square, R1, Circle, Square(2), then release L1. 

Gameshark codes

Unlimited ammunition: 
80059A64 0063
Unlimited armor:
80019DD2 00C8
Unlimited energy:
801080F8 000F
Heartbeat high:
800B7EB4 017F
Heartbeat low:
80019DD4 0001
Red key:
800B8234 0003
Green key:
800519C2 0001
Blue key:
800519C4 0001
Yellow key:
800519C6 0001
Purple key:
800519C8 0001
Light Blue key:
800519CA 0001