At the level selection screen, hold down both the left and right shoulder buttons. You will get a screen with CODES top-right and space for upto eight characters. Use UP/DOWN to cycle the letters (A-Z, 0-9) and LEFT/RIGHT to select which letter. Press X when done.

Password - Effect:

INVINC0 - Turn invincibility off
INVINC1 - Turn invincibility on
LVLANY0 - Turn of any-level selection
LVLANY1 - All any level to be selected