To activate these cheats start the game at Level 1 and enter the room immediately opposite the start position containing 2 red creatures. A flash will let you know that the cheat has worked.

Level Select:
Hold Triangle and press L1 + L2 + R1 + R2. When you exit the game & return to the main menu there will be a level select option.

Invulnerability:
Hold Circle and press L1 + L2 + R1 + R2.

Weapons:
Hold X and press L1 + L2 + R1 + R2.