Multiple Cheats:

Goto the "Main Menu" and enter the following:

c-up, c-down, c-left, c-right

You can now enter a code below by pressing pause during gameplay.

Full Health:

Z, R

Level Skip:

C-Up, C-Down

Frozen Breath:

Z, L

Heat Vision:

R, L

Big Punch:

L, Z

More Speed:

R, Z

Level Select:

Start a game in 1 player mode and keep playing until you are allowed to save your game. Save the game at that point, and start over by loading the game you just saved. When you are asked to insert a "rumble pack" you need to:

Hold L+B for about a second and then press A

You should now be able to choose your level.