Big heads:
Press R(2), L, R at the main menu.

Liquid metal textures:
Press B, Y, X, B, Y, X at the main menu.

Invincibility:
At the main menu, press L, R, L, R, L, R, L, R.

Level select:
At the main menu, press X, Y, Z, Z, X, Y, Z, Z.

Flame on:
At the main menu, press X, Y, B, X, Y, B.

Small Heads:
At the main menu, press L, L, R, L.

Pin Heads:
At the main menu, press B, X, Y, B, X, Y.

Exploding fists:
At the main menu, press R, R, Y, B, X, R, R.

Hot fists:
At the main menu, press L, L, X, B, Y, L, L.

Exploding bullets:
At the main menu, press L, R, Z, Y, B.

Slower enemies:
At the main menu, press B, X, Y, Z, L, R.

I Got The Power mode
Press Z, B, Z, B, Z, B at the main menu. A message at the bottom of the screen will confirm correct code entry. All characters in the game will have blue electrical energy flowing all over their bodies. It also seems to give your weapons more knockdown power.

Hero mode
Press L + Y with a full special meter.

Unlimited ammunition
Press Z(4), L, R at the main menu. A message at the bottom of the screen will confirm correct code entry.