Unlimited Lives

At the Title screen, press L1, R1, L2, R2, L1, R1, L2, R2.

Level Skip

While playing a game, press R1, R2, L1, L2, R2, L1, L2(2).

Cheat mode

At the main menu, press Left(2), Right(2), Up, Down, Left, Right, Up(2), Down(2). Then, scroll down below the "Load Game" option to display a cheat menu selection.