Grenades
When on any level and there are two enemies talking to each other, throw a grenade (for example at the beginning of the Think Like A Gun level). They will not even look to see what it was because they will be distracted.
Infinite Ammo
Pause the game and press Left Trigger, Right Trigger, X, X. When done correctly you'll hear a sound.
Invulnerability
At the Pause Menu press LEFT, RIGHT, LEFT, RIGHT, UP, DOWN, UP, DOWN, SQUARE, X, O, UP, UP.
Shooting Hidden Enemies
Some enemies hide in areas where you cannot shoot them. Throw a grenade at them and they will jump out of hiding. When they jump out, they will land on the ground on their stomachs. They will require a few seconds to get back up. Before they do, aim and shoot them or they will go back and hide again.