Level select and all challenges
At the main menu, press X, L, X, L, X, L(2), R to unlock level select and all challenges. Note: There are two side effects after using the level select cheat. First, stealth attacks no longer give you dog tags, which means you cannot advance to a higher strike level. Get all the tags you need before using the cheat. Secondly, when you save a game in which the level select code is used, the file is now marked with an "X" just before the time and date.

All costumes
At the main menu, press X, L, X, L, X(2), L, R to unlock all costumes.

All Cerebro files and FMV sequences
At the main menu, press X, L, X, L, X(2), R, L to unlock all Cerebro files and FMV sequences.

Cheats option
At the main menu, press X(2), L(4), X(2), L to unlock cheats option. Pause the game to access the "Cheats" option.