Maken X

All weapons:
Pause the game, and then press: Up, Right, Left, Down, B, L, R, A, Right, X, B, Left, R, Y, Up.

Invincibility:
Pause the game, and then press: Down, Left, Up, Right, L, A, X, Left, R, B, Y, Up, L, A, Down.

Select a Character:
To select who you want to be, beat the game 20 times and enter Left, Right, Up, Up, X, B, L, Y, A in 3 seconds.

Get Full Pause Screen:
Simply press X + Y after pausing the game.