Press Start when you are on the title screen, then go to the New Game -> Load Game -> Options. There you will be able to make the cheats below. Note that it’s necessary to hold the L+R key combination before press other buttons.
All levels and movies: press DOWN, LEFT, DOWN, Y, DOWN.
Infinite ammunition: press UP, LEFT, DOWN, RIGHT, X.
Infinite shotgun: press RIGHT, X, X, X, B.
Always double handguns: press Y, X, UP, UP, UP.
Unlocks all disarm motions: press B, B, X, X, RIGHT.
One hit death: press DOWN, X, LEFT, LEFT, LEFT.
Unlock Super Cop difficulty: press B, Y, LEFT, UP, RIGHT.
Infinite adrenaline: press LEFT, RIGHT, LEFT, X, B.
Unlimited armour: press UP, UP, UP, B, DOWN.
Dual Guncons: press Y, X, UP, UP, UP.
Infinite health: press B, Y, X, Y, B.
Stronger melee: press Y, X, X, X, LEFT.
Double melee damage: press X, X, UP, UP, B.
All enemies unarmed: press RIGHT, B, LEFT, X, Y.