Pause the game, then hold L and press Left, Up, A, Up, Left, A, Start, Select. A cheat menu will options for God mode, full weapons, infinite ammunition, and no clipping will appear.
Throw more than one pipe bomb
Select the pipe bomb, throw one, then press and release Select. You can now throw another pipe bomb.
Shrink ray gun warning
Do not walk next to a enemy and shrink him. You will shrink along with him.
Freeze gun warning
Do not walk next to a wall and fire the freeze gun. You will freeze instead of the wall.
When you see an Octobrain far away, use the freeze gun. When the Octobrain is frozen, it will fall and smash into pieces. This method is very useful if you want to save your rockets or bullets.