Enter these at the cheats screen:
Unlock all cheats:
L1, L2, R2, R1, L1, L2, R2, R1, L1, L2, R2, R1, L1, L2, R2, R1, Circle, Circle, Circle, Circle, X, X, X, X, Square, Square, Square, Square, Select, Select, Select, Select.

Level select: Circle, X, Square, Square, X, Square, Circle.

Infinite ammunition: L2, Circle, R2, Square, Circle, L2, R1.

All weapons: R2, X, L1, Square, R1, Circle, L2.

Double damage: Square, Square, Square, Circle, Circle, Circle, X.

Invincibility: L1, Square, Circle, Circle, Square, L1, L2.

Temporary invincibility: L1, L1, L1, L1, L1, L1, R2.

Invisibility: Square, X, Circle, Square, X, Circle, Square.

Full ego: R1, R1, Circle, Circle, L1, L1, R2.

Full armor: L1, L1, R1, R1, X, X, Circle, Circle.

First person view: L2, R1, L1, R2, Circle, X, Square.

Big head Duke: Square, Square, X, Circle, Circle, X, Square.

Small head Duke: Square, X, Circle, Circle, X, Square, Square.

Big head enemies: X, X, R1, X, L1, X.

Small head enemies: X, L1, X, R1, X, X.

Wacky FMVs: L1, L2, R1, R2, Circle, Circle, Square, Square.

Outtake FMVs: L1, L2, R1, R2, Square, Square, Circle, Circle.

Ending FMV: Circle, R2, L1, Square, L2, X, R2.