Infinite Ammo and More
Complete the game once through to unlock a cheat mode with "Super Cop," "All Weapons," "Dead on Arrival" mode, "New York Minute" mode, and infinite ammo.

Unlimited Pain Killers
Collect some pain killers within a level, and then choose to quit the game via the menu. When you return to the Main Menu, choose "Continue Game." When you restart the level you'll begin with the same amount of pain killers as you had before quitting. Re-collect the pain killers in that level to augment your supply.