Loaded

Go to the ingame options screen and hold down L1 and L2 for about 10 secs. Keep holding them and press the following key sequences. New menu options will appear for the various power ups

Health
right, right, left, down, down, up, triangle, square

Lives
left, down, right, triangle, square, X, circle

Pause the game, then hold L1+L2 until the cursor locks up. Continue to hold L1+L2 while entering all codes.

Press Down, Right, Circle, Left, Right, Circle, for an option that boosts your ammunition

Press Right, Right, Left, Down, Down, Up, Triangle, Circle, for "Health" option that refills your energy meter.

Press Right, Down, Right, Triangle, to get a "Power" option which can power-up your weapon.

Press Left, Down, Right, Triangle, Square, X, Circle, for the "Lives" option; this gives you as many lives
as you need.

Press R1, R2, X, Triangle, Square, Circle, R1, R2, Circle, Circle, Square, for the "Smart" option which lets you stock up on smart bombs.

Press X, R1, Triangle, R1, Square, Circle, R2, R2, X, Square, Triangle, X, for a "Skip Level" option that
allows you to do just that.

Pause the game and hold down L1, L2 for 20 seconds and enter:
U, R, O, L, R, O - For full ammunition
R, R, L, D, D, U, T, S - For full health