Ne0

Infinite Ammo:
Pause the game and press Left Trigger, Right Trigger, X, X. When done correctly you'll hear a sound.

Level select:
Successfully complete the game on the normal or hard difficulty setting to unlock an option that will allow you to pick any level in the game.

Grenades:
When on any level and there are two enemies talking to each other, throw a grenade (for example at the beginning of the Think Like A Gun level). They will not even look to see what it was because they will be distracted.