Level select
From the new game screen, highlight the Options selection. First hold B for a few seconds (3 or more seconds should do it), then press Y, A, X, B. Hold X for a second or two, and finally then press B again.

Cheat mode
You can unlock a special cheats menu by doing the following:

Pause during a game. Hold L + R and press Left, B, X, Left, B, X, Left, B, X, A, X.

Restore health
Press and hold X, Y, B during a game.

Hidden artwork and sound files
You can find wallpapers and other misc. extras by using the gamedisc in a CD-ROM. You should be able to find the Kalisto movie intro as well there.

Cheats