Walk through walls 
At the main menu, hold L1 + R2 + Circle + Square and press Select. 
If you entered the code correctly, a message will appear.

Level select 
At the main menu, highlight the "New Game" option. 
Hold L1 + R2 + Circle + Square and press Select. 
Highlight the "New Game" option again and press Right 
to select a level, then press X to begin the game.

Invincibility 
Pause the game, then hold L1 + R2 + Circle + Square and press Select. 
A Cheats menu will appear with a "Hero Unlimited Live" option.