Unlock all Wu generals:
Press Triangle, L1, Square, R1, R2, L1, L2, L2, at the main menu.

Unlock all Wei generals:
Press Square, Triangle, L1, L2, R1, R2, L1, L2, at the main menu.

Select level:
Press R1, R2, L2, L1, Square, R2, Triangle, L1, at the main menu.

Unlock all Shu generals:
Press L1, Square, Triangle, R2, L1, L2, L2, R1, at the main menu.

Opening Edit option:
Press R1, Square, L1, Square, R2, Triangle, L2, Triangle, at the main menu.

All movies unlocked:
Press L1, Triangle, R1, Triangle, L2, Square, R2, Square, at the main menu.

Unlock all generals:
Press Square, R1, Triangle, L1, Triangle, R2, Square, L2, at the main menu. 

BGM Test option
Press Square, Triangle, Triangle, Square, L1, R1, R2, L2, at the main menu.

Hidden ending
Goto the options screen and choose the "Opening Edit" option. Highlight the 
Replay, then hold L1 + L2 + R1 + R2 and press X.