Shotgun:
After pausing the game, push Triangle, Square, Triangle, Left, R1 to start with a shotgun.

Invincibility:
After pausing the game, push X, Circle(2), Triangle, Circle, X.

Level skip:
Pick ARCADE in the main menu, then aim at the black border of the boxes with "Beginning" or "Warp Ahead" to begin farther into the game than normal.

Gun power-up:
You will lose a gun power-up as soon as you shoot one of the other humans. This is because when you lose a life, you lose your gun; and when you shoot a human, you lose a life.

Easier game:
In the beginning of the game, pick WARP AHEAD. This puts you much further in the game than the beginning. It may be harder, but playing the beginning tasks just wastes lives.

Secret rooms:
Enable the "Secret rooms" option. Do any one of the following to enter a room called Chow Palace, which is filled with power-ups.

Inside the bunker, shoot all the blue lights on the left wall.
Shoot out all the back windows inside the bunker.
When riding inside the forklift, shoot all the yellow barrels.
When riding inside the jeep, shoot all the yellow boxes.
When you are in the building shoot the name plate off the second door as it is opening.
When you are being bombarded by the two aliens on top of the hill, shoot everything yellow.