When on any level and there are two enemies talking to each other, throw a grenade (for example at the beginning of the Think Like A Gun level). They will not even look to see what it was because they will be distracted.
Infinite Ammunition
Complete the game, then press L1, R1, Square, Square.
Level Select
Successfully complete the game under the normal or hard difficulty setting to unlock an option that will allow you to pick any level in the game.