Enter these codes into the Password screen in the Options menu:

Alternate Costume (Raphael): SLSMM
Alternate Costume (Leonardo): RSLMD
Alternate Costume (Michaelangelo): RLSLS
Alternate Costume (Donatello): RRSLR
Attack Power Up (Raphael): RDSRL
Attack Power Up (Leonardo): LMLSD
Attack Power Up (Donatello): DRLDS
Defense Doubles (Leonardo): LDSMS
Defense Doubles (Donatello): MLMLS
Defense Doubles (Michaelangelo): MRRML
Defense Doubles (Raphael): SDRML
Defense Power Up (Michaelangelo): MSRMM
Change Sound Effects: DDDML
Power Up Effects Double (Raphael): LSMMS/RSSSR
Power Up Effects Double (Donatello): MLSDS
Power Up Effects Double (Michaelangelo): RLMSM
Power Up Effects Double (Leonardo): RSDMM
Unlimited Fire Shurikens/All Food is Pizza (Michaelangelo): MSSLD
Unlimited Shurikens (Leonardo): SSLDM
Unlock Playmates Toy Data Base: LSDRM
Unlock Splinter for Story Mode: LSLML