UPDATE :: Mike Penance (who has also written a walkthrough for this game here
suggests that for these cheats to work you have to input them REALLY FAST.
Unlock ALL Levels:
At the Start screen press Triangle, Square, square, Right, Down, Left, R2, X, X
Take ALL Weapons with you:
At the Start screen press Triangle, Triangle, Square, O, R1, O, R2, X, X
Unlock Alternative Main Menu:
Successfully complete the game to unlock an alternate background of the Main menu