Return to the starting area (Blackfoot Territory) when you have completed the game and from the left of the higher boulder leading up to a ledge and gap, jump and spur your horse so it lands on top and then onto the ledge. Now cross the next two areas and stand between the only two rocks in the water and press and hold LB + LT + RB + RT + A for several seconds until you hear a wierd sound confirming that you have entered the code correctly. If you then go to 'Options' and press 'Start' a new selection called 'Gun' will appear which will allow you to choose any mission or cutscene and you will retain ALL weapons, items, and skills.

Unlock Magruder's seven barrel Nock gun:
Successfully complete story mode.

Unlock .69 Ferguson Rifle:
Defeat Hollister.

Unlock Dual Peacemakers:
Defeat Reed.

Unlock Apache Shirt:
Complete the Hunting missions successfully

Unlock Silver Spurs:
Complete the Pony Express missions successfully

Faster Riding:
Hold (Dash) and keep jumping your horse to travel about double the speed.