Pause gameplay, then hold L1 + R1 and press Circle (x 2), Left, Triangle, Circle, X.
The phrase "Enter Cheat" will appear to confirm correct code entry. The following codes can now be enabled.

Suicide:

Enable the "Cheat Mode" code, then press X, Triangle, Circle, Right, Triangle, Circle.
Note: This code only works in single player mode.

Hide HUD:

Enable the "Cheat Mode" code, then press Circle, Down, Circle, Up, Triangle, Circle.

Kill Nemesis:

Enable the "Cheat Mode" code, then press Down, L2, L1, Up, Square.
The person you need to hunt down in various missions will be killed.

Pickup OSS :

Enable the "Cheat Mode" code, then press Up, X, R2, R1, Up, Square.

Disable Shellshock:

Enable the "Cheat Mode" code, then press L2, R1, L2, L1, Triangle (x 2).

Hint: Level 1: Easy Completion:

At the beginning of the first level, charge up to the Nazis and shoot with your machine gun. A soldier will shoot at you; ignore him. Go to the far right and down some stairs. Walk up to your captain. If you still have ammunition, more Nazis will appear. Shoot them, then run back to your ship to complete the first level.