Full pause screen

Pause game play and press X + Y + Z.

Debug Mode
 
To pick the level you wish to start at, the number of 
lives, and even the color of blood, when you are on the 
main option screen where you can choose between Arcade 
mode, Saturn mode, etc. Press L, R, R, L, L, R buttons. 
You should hear a jingle, then hold the L & R buttons, 
choose a mode and press "start." You should come to the 
debug menu. (Note: The Japanese version may not give 
you the option to change the color of the BLOOD.)

Secret Characters

To use Sophie and one of the female researchers, hold 
the L & R buttons at the character select screen in the 
Saturn Mode, and press UP, DOWN, X, Y, Z. You will know 
the code was entered right if you hear a sound.