Level Skip:
While pausing the game hold L1 and press Circle, Left, Circle, Right, Circle, Square, Left, Left, Right, R2.

Full health:
Pause the game, hold L2 and press Circle, Circle, Circle, Square, Square, R2, R1, Up, Circle, Square.

All FMV sequences and the "Extras" option:
Hold L1 at the main menu and press Left, Right, Left, Down, Up, Down, R1, Circle, R2, Square. You'll find the "Movies" selection in the options menu.