At the options screen press L1, R1, L1, R1, L1, R1
Level Select
Pause the game at the zone selection screen and press L1, R1, L1, R1
Unlock All First Levels
Pause the game at the zone selection screen and press L2, R2, L2, R2
Unlock All Second Levels
Pause the game at the zone select screen, hold L1 + L2 + R1 + R2 and resume the game.
Unlock Everything
Pause the game at the zone selection screen and hold L1 + R1 + L2 + R2, then resume play
Unlock third level and secrets.