Pong

Unlock first level:
Pause game play at the zone selection screen. Press L1, R1, L1, R1, then resume game play

Unlock second level:
Pause game play at the zone selection screen. Press L2, R2, L2, R2, then resume game play

Unlock third level and more:
Pause game play at the zone selection screen. Hold L1 + R1 + L2 + R2, then resume game play. This also unlocks the secret power-ups and the three classic black and white Pong versions.