How to unlock Cheat Mode:
Go to the main menu and press X, Y, White, Black, X, Y, X.
How to unlock Invincibility:
Go to the main menu and press White, X, Y, Black, X, Y, Black.
How to unlock 2X Damage Mode:
Go to the main menu and press X, Black, X, Y, X, White, X.
How to unlock Level Skip:
Go to the main menu and press X, Black, Y, Black, X, White, Y.