To get a choice of infinite lives, different colour blood (yes red is in there!) and a stage select you'll have to do the following.
You'll need the controller to do these as well. At the main screen press "L,R,R,L,L,R" After hearing a noise hold down L and R and choose your mode. Keep holding them down until you get to the next menu.
A bit pointless but if you want to see the good ending you'll need this. When playing pause the game and hold down L and R and press X three times. Please note you'll need 62,000 or higher to get the good ending.
To get this pause the game during play and hold down L and R and press Y three times.
At the character selection screen in Saturn mode hold L and R, then press up, down, X,Y,Z and you'll be able to pick Sophie and one of the researchers.
Game Shark Codes:
Master Code - F6000914 C305 And B6002800 0000
Infinite Health Player 1 - 160B0FFA 0005
Infinite Health Player 2 - 160B10FA 0005
No Health Player 1 - 160B0FFA 0000
No Health Player 2 - 160B10FA 0000
Infinite Ammo Player 1 - 160B104E 0006
Infinite Ammo Player 2 - 160B114E 0006
No Ammo Player 1 - 160B104E 0000
No Ammo Player 2 - 160B114E 0000