Unlimited lives:
Pause your game and highlight the Exit option. Hold L2 and press Up, Up, Down, Right, Triangle, Down.

Level Select:
Pause your game and highlight the Exit option. Hold L2 and press Left, Right, Triangle, Down, Right.

Invincibility:
Pause your game and highlight the Exit option. Hold L2 and press Left, Right, Triangle, Down, Right, Left.