Go to the main menu and enter one of the following codes to unlock the desired effect:
Invincibility: X, Y, L, R, L, R, R
Unlock all vehicles: X, X, Y, Y, L, R, L
Unlock all missions: X, X, Y, Y, R, R, L
Unlock all weapons: L, L, X, Y, Y, R, R
Unlimited ammo: R, R, L, L, X, Y, Y
Immunity: X, Y, R, R, L, L, Y