Collect each of the green gems in all levels to unlock the Concept Art and Character Models options in the features menu.
FMV sequences
Get each of the eight Atlantean Symbols in a level to unlock the corresponding FMV sequence under the Movie Viewer option.
Unlimited lives
Hold X + Circle + Square + Right at the title screen. Start the game. Hold L1 + R1 when playing as Milo for unlimited lives. Milo will say "Great" to confirm correct code entry.
Concept Art and Character Mode...