Pause the game, then press L+A, B, X, A, A, B, X, A, START. The Option & Info screen will appear, and will allow you to play in the Cheat Mode (invincible), to Start in any Level, to "Freeze" the screen (pause it without going dark), or use the Map View to see the entire level before you play it. NOTE: I can't be sure, but if you use this code, you may not be able to complete the game...
Pause the game and press A B X A, A+X, B+X, B+X, A+X. Unpause and you will be at the next stage.
Wrong Cheat Code:
Pause the game with START, then press Y A B B A Y A B B A.
-8 Plasma Shots: Pause, then press A A, B+[L], A A X, B+[L], X.
-Extra Continue: Pause, then press A B A B X Y X Y.
-Full Ammunition: Pause, then press A B, B+[L], B X A X X.
-Extra Life: Pause, then press B B X, X+Y, Ax4.