Unlock All Weapons:
     At the main menu, press L, L, X, Y, Y, R, R.

Invincibility (wont work in story mode):
     At the main menu, press X, Y, L, R, L, R, R.

Immunity (wont work in undercover mode):
     At the main menu, press X, Y, R, R, L, L, Y.

Unlock all Missions:
     At the main menu, press X, X, Y, Y, R, R, L.

Unlock all Vehicles:
     At the main menu, press X, X, Y, Y, L, R, L.

Unlimited Ammo:
     At the main menu, press R, R, L, L, X, Y, Y.