At the "Access Denied" screen that appears after you complete a level without collecting all cages and lums, press B, Y, Right, Left, Right, Left to unlock bonus levels. If you entered the code correctly, the word "Cheat" will appear under the "Access Denied" message.
Fly towards the highest point of the roof in The Crow's Nest level, and keep trying to hit the center. Hold B + Y until you hit it. If done correctly, you will teleport into a metal pipe structure. Reach the end of this structure to teleport back to the main area. The orange balls of ammunition that normally appear will now be blue, and will never run out unless you get hit.
Reach the last area in the Tomb Of The Ancients level. Get on the dark spot on the third panel behind the "Technical Check-Up" door, then press B, Y, Right, Left, Right, Left. If you entered the code correctly, a crate will appear. It will allows you to access a hole in the wall. Once inside, you can view various secrets about the game.