On the cheats menu, enter the following codes: 

Invincibility:
Square, Square, X, Triangle, X, Circle, X, Circle.

Unlock Centepide In "Special Features": 
Circle, Circle, Circle, Square, Square, Square, Triangle, Square. 

Unlock Missile Command In "Special Features": 
Circle, Circle, Circle, Square, Square, Square ,X, X.

50% Less Health for TX in Combat: 
X, Triangle, Square, Circle, Triangle, X, Square, Triangle.

50% More Health for TX in Combat: 
Square, Triangle, Square, Triangle, Circle, X, Circle, X.

50% More Health in Combat with T800:
Triangle, Triangle, Square, X, Circle, Triangle, Square, Circle.
 
All FMV: 
Triangle, Circle, Square, X, X, X, Triangle, Circle.

All Future Weapons: 
X, X, X, Triangle, Circle, Circle, Square, X.
 
All Past Weapons: 
Circle, Circle, Triangle, Square, X, Triangle, Triangle, Square.
 
All Still Pictures: 
X, Square, X, Square, Circle, Triangle, Circle, Triangle.

Centipede Mini-Game: 
Circle, Circle, Circle, Square, Square, Square, Triangle, Square.

Complete Mission: 
Square, Square, Triangle, Circle, Circle, X, Square, Triangle.
 
Fight TX Endoskeleton in Every Battle:
Triangle, Square, Triangle, X, Triangle, Triangle, Triangle, Triangle.
 
Level Select: 
Square, Square, Square, Circle, Circle, Circle, Triangle, Triangle.

Missile Command Mini-Game: 
Circle, Circle, Circle, Square, Square, X, X.

Quadrupled Damage: 
Triangle, Triangle, Triangle, Triangle, Square, X, Circle, Square.
 
Unlimited Ammo: 
X, Triangle, Triangle, Triangle, X, Circle, X, Square.
 
View Dev Team: 
Circle, Circle, Circle, Square, Square, Square, Triangle, X.