Infinite Ammo
Pause the game and press Left Trigger, Right Trigger, X, X. When done correctly you'll hear a sound.

Level Select
Successfully complete the game under the normal or hard difficulty setting to unlock an option that will allow you to pick any level in the game.

Grenades
When on any level and there are two enemies talking to each other, throw a grenade (for example at the beginning of the Think Like A Gun level). They will not even look to see what it was because they will be distracted.

Shooting Hidden Enemies
Some enemies hide in areas where you cannot shoot them. Throw a grenade at them and they will jump out of hiding. When they jump out, they will land on the ground on their stomachs. They will require a few seconds to get back up. Before they do, aim and shoot them or they will go back and hide again.

Invulnerability
At the Pause Menu press LEFT, RIGHT, LEFT, RIGHT, UP, DOWN, UP, DOWN, SQUARE, X, O, UP, UP.

Shooting Enemies
The best way to kill someone is to pull the trigger when your crosshairs are red.