Be Invincible

Go to the Enter Cheat screen and enter EMERPUS for a code. Then turn on that cheat at the menu to activate it.

Get Every Weapon (Weapons must be available in current level)

Go to the Enter Cheat screen and enter TEXAS for a code

Unlimited Ammo

Go to the Enter Cheat screen and enter MADMAN for a code

Pick level

Go to the Enter Cheat screen and enter SELLOUT for a code. Now you need to load a saved game to pick the level

Be invisible

Go to the Enter Cheat screen and enter SLLEWGH for a code.