There is a hospital in North Banana Grove in Vice City. There is a tiny flight of stairs on the North end of the hospital. Climb them. Walk over the edge of the building. Once done you can walk almost anywhere in the city, even water! Cops can't even get you. You are above the ground. You can go down almost any flight of stairs to return to normal. Very useful for avoiding the cops!
Access All Levels Quickly
To get all the levels in GTA you have to simple go to the level you are stuck at. Then steal a car and go blow yourself up, or run of a bay, get shot, get arrested, or just fine someway to die! Then after all your 5 lives are gone you should see a screen that shows you stats and press "A" when you get to the main screen, turn off the gameboy.
Turn it back on, and the level you where stuck at should be passed, now you can play the new level. Your stats will be very bad on the previous level.