Special Features option
Enter the inventory screen and highlight the "Timex" (TMX) selection. Hold L1 + L2 + R1 + R2 + Down + Circle and press Triangle.
Quit the game and go to the main menu to find a "Special Features" option.

All weapons, infinite ammo, medikits
Enter the inventory screen and highlight the "Small Medikit" selection. Hold L1 + L2 + R1 + R2 + Up, then exit the inventory screen.

All items
Enter the inventory screen and highlight the "Large Medikit" selection. Hold L1 + L2 + R1 + R2 + Down, then exit the inventory screen.

View FMV sequences
At the main menu, press Select + R2.
Russian Base (Second Story)

At the main menu, highlight the "New Game" option, then hold L1 and press X to start at the Russian Base (Second Story).

Black Isle (Third Story)
At the main menu, highlight the "New Game" option, then hold L2 and press X to start at the Black Isle (Third Story).

Tower Block (Fourth Story)
At the main menu, highlight the "New Game" option, then hold R1 and press X to start at the Tower Block (Fourth Story).