Enter codes in game while holding right on the d-pad:

Invulnerability: 
Square, O, O, O, Square, O, Triangle, X. 

Level Select: 
O, O, Square, Triangle, Triangle, Square, O, X Square. 

Upgrade Weapon:
Square, Triangle , Triangle, O, O ,O , X. 

Invisible Zeke: 
At the legal screen hold X + Square + L1 + R1. 

Turn lights on and off:
Pause the game and highlight Options, then hold L1 + R1 and unpause the game and pause it once more. There will be a new item in the Options screen.

Play as Skeleton Zeke:
At the game's copyright screen, press and hold Triangle + Circle + Square + X until the game's title screen.

Weapon Bonus:
During gameplay press and hold Right, then press Square, Square, Triangle, Triangle, Circle, Circle, Circle, X.