Invincibility

Pause game play and quickly press 
Square, Circle, L1, L1 + L2. Sarge 
will be invincible during the current level. 
Alternatively, pause game play and press 
L1, L1 + L2 within two seconds.

All weapons
Pause game play and press 
Square, Circle, R1, L1, R1 + R2. 
Sarge will have access to all the weapons during the 
current level. 

Level select 
At the main menu, quickly press 
Square, Circle, R1, L1, L1 + R1.

Run faster in multi-player mode
Hold Square + Triangle to chase your opponent quicker.