Full Armor.

At the Cheats screen, press L1, L1, R1, 
R1, X, X, Circle, Circle.


All Weapons:

At the Cheats screen, press R2, X, L1, 
Square, R1, Circle, L2.


Level Select:

At the Cheats screen, press Circle, X, 
Square, Square, X, Square, Circle.


Big Head Duke:

At the Cheats screen, press Square, Square,
X, Circle, Circle, X, Square.


Small Head Enemies:

At the Cheats screen, press X, L1, X, R1, X, X.