Pause the game, then hold L + R and press X(2), Left, Y, X, A. The following codes may now be enabled:

Commit suicide
Enable the "Cheat mode" code, then press A, Y, X, Right, Y, X.

Disable shellshock
Enable the "Cheat mode" code, then press Z, R, Z, L, Y(2).

Hide HUD
Enable the "Cheat mode" code, then press X, Down, X, Up, Y, X.

Kill nemesis
Enable the "Cheat mode" code, then press Down, Z, L, Up, B. The person you have to hunt down in various missions will be killed.

Pickup OSS Document
Enable the "Cheat mode" code, then press Up, A, Z, R, Up, B.

Unlimited ammunition
Enable the "Cheat mode" code, then press Z, R, Up, X, B, A. Repeat this code to disable its effect.