Go to ending
Use password 288756 to go straight to the ending.
Enter 089172 as password to access the stage select. Pick the stage you want with the D-pad then press Start to play (or arrows and Enter if using the keyboard).
Enter password 744096 and now nobody will be able to harm you.
Enter password 630384. Now, every time you start a stage or restart from a checkpoint, you'll have all three weapons (including those you normally can't acquire in that stage).
Enter 094819 as password. Now when you go to the Sound Test the sound number can go beyond the usual maximum and you can listen to every voiced cutscene in the game. Beware, spoilers!
No HUD background
Enter password 389158 to disable the HUD's background and take a peek of what's going on under the hood!
Disable all cheats
Enter 999999 to disable all cheats you've entered so far. Both X and O lights will be lit to tell you that it worked.