All inventory, weapons, health, ammunition
First, enable Cheat Mode and then, during gameplay, hold L + Start + A.
Enable Cheat Mode
At the Title Screen, hold Start and press Y, A, B(x2), Y, A, X, B, X, B to enable cheat mode. When cheat mode is enabled you can bring up a Level Select screen by pressing X.
Invincibility
First, enable Cheat Mode and then, during gameplay, hold L + Start + X.
Level skip
First, enable Cheat Mode and then, during gameplay, hold L + Start + Y.
All inventory, weapons, health...