Invincibility:
Enter on in-game pause menu L1, R2, L2, R1, Select
Unlock All Missions:
Enter on Title Screen X, L2, Triangle, R2, Select
Unlock All Special Features:
Enter on Title Screen L1, L2, R1, R2, X, Select
Bonus Levels:
Complete the 15 missions to unlock 8 more "Desert Siege" missions.