Skeleton Zeke- At the Legal screen, hold A + B + X + Y. Release the buttons at the Title screen.

Level Select- During a game, hold Right and press X, X, B, Y, Y, B, X, A.

Invincibility- During a game, hold Right and press B, X (x3), B, X, Y, A.

Weapon Upgrade- During a game, hold Right and press B, B, Y, Y, X (x3), A.

Happy gaming =p

Zeke is a skeleton:
Hold A + B + X + Y at the opening sequence, before the legal screen. Release the buttons at the title screen. Zeke is invisible:
Hold A + B + L + R at the opening sequence, before the legal screen. Release the buttons at the title screen. Invincibility:
Hold Right on the directional pad, then press B, X(3), B, X, Y, A during gameplay

Weapon upgrade:
Hold Right on the directional pad, then press B(2), Y(2), X(3), A during gameplay

Level select:
Hold Right on the directional pad, then press X(2), B, Y(2), B, X, A during gameplay

These codes can be found after (but used anytime) beating the game on nightmare mode. Just to prove I did not copy anybody.