While playing a game, press Left, Circle, X, Right, Circle, X, Down, Circle, X. Then a cheats menu will appear with the following options:

Invincible: No damage.
Coords: Displays current position.
Pal mode: Switches NTSC to PAL, will freeze NTSC machines.
Supermap: Display full map of current level.
Maxout: All weapons and ammunition.
Pogo: Higher jump to reach previously inaccessible locations.
Ponder: Turn AI off.
Gamewon: Jump to next level.

To use the level skip feature, enable the "Gamewon" option on the cheat menu. Then exit the menu and pause the game to access a new option to skip to the next level.