Enter these codes at the password screen:

Level Gulch:
X, Square, Circle, L1, L2, Square
Now go to the Challenge Mode to access the level

Level Funtopia:
X, Circle, L2, X, Square, L1
Now go to the Challenge Mode to access the level

Duke Nukem "Time To Kill FMV":
Square, Square, Circle, Circle, Triangle, Triangle

Extra Armor:
R1, Triangle, R1, Triangle, L1, Square

Unlimited Turbos:
Square, X, Circle, Triangle, R1, R2

2X Pickups:
L1, L2, Circle, L1, R1, Square

Boss Battle One:
Circle, R2, R1, Square, L1, R2
Following every challenge battle you must reenter this code

PLAY AS:

Alien:
R1, Square, X, Square, L2, Circle

Goliath:
Triangle, L1, R1, X, L2, L2

Helicopter:
L1, Triangle, R2, Triangle, Triangle, R1

Nightshade:
R1, R2, L1, L1, X, Circle