Highlight the "Buy" option on the shop menu and press Up, Left, Right, Down, Right(2), C.
Level select
Highlight a saved game file at the load game screen and press Right, Down, Up, Left, R, Y, Start, X, Z, C.
Super shop
Highlight the "Buy" option on the shop menu and press Left, Up, Down, Right, Left, X, Right, Up, Left, Down, Right, X, C to get a shop that sells practically everything.
View FMV sequences
Press Up, Down, Up , Down, Left, Right, X, Circle at the load game screen.