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All Weapons
In the first area of the first level of the game walk forward to an opening door containing two monsters. Kill the two monsters and, while standing in the room that the they were in, press and hold R1 + R2 + L1 + L2 + Circle. A red light will flash in front of you if you performed the code right.
Invincibility and Level Select
Both of these two cheats require you to start a new game on the first mission. Once you've started, go to the first room and kill the two monsters inside. Now, stay inside the room and enter the following codes.

Invincibility: Press L1 + L2 + R1 + R2 + X. A blue light will confirm correct entry.

Level Skip: Press L1 + L2 + R1 + R2 + triangle. A green light will confirm correct entry. To access the level skip code, press start and exit the level. When you return to the main menu, you will be able to select your level.