Unlimited ammo:
Go to the code entry screen and enter the following combo: X, Triangle(3), X, Circle, X, Square.

Invincibility:
Go to the code entry screen and enter the following combo: Square(2), X, Triangle, X, Circle, X, Circle.

Unlock all future weapons:
Go to the code entry screen and enter the following combo: push X(3), Triangle, Circle(2), Square, X.

Unlock all past weapons:
Go to the code entry screen and enter the following combo: Circle(2), Triangle, Square, X, Triangle(2), Square.

Complete current mission:
Go to the code entry screen and enter the following combo: Square(2), Triangle, Circle(2), X, Square, Triangle.

Quadruple damage:
Go to the code entry screen and enter the following combo: Triangle(4), Square, X, Circle, Square.

You can also unlock a game of the classic Atari Centipede by completing the game. It will be unlocked the next turn you turn on your PS2.