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.