A message at the bottom of the screen will confirm correct code entry. 

Invincibility:
Press L, R, L, R, L, R, L, R at the main menu. 

Unlimited ammunition:
Press White(4), L, R at the main menu. 

Level select:
Press X, Y, White(2), X, Y, White(2) at the main menu. 

Flame on:
Press X, Y, B, X, Y, B at the main menu. 

Unlimited Hero Time:
Press B, X, Y, White, R, L at the main menu. 

Liquid metal textures:
Press B, Y, X, B, Y, X at the main menu. 

Big heads:
Press R(2), L, R at the main menu. 

Small heads:
Press L(2), R, L at the main menu. 

Pin heads:
Press L(2), R, L at the main menu. 

Exploding fists:
Press B, X, R(2) at the main menu. 

Hot fists:
Press X, B, Y, L(2) at the main menu. 

Exploding bullets:
Press L, R, White, Y, B at the main menu. 

Hero mode:
Press L + Y with a full special meter. 

I Got The Power mode:
Press White, B, White, B, White, B at the main menu. A message at the bottom of 
the screen will confirm correct code entry. All characters in the game will have 
blue electrical energy flowing all over their bodies. It also seems to give your 
weapons more knockdown power.