Pause the game and enter the following cheats.

Infinite Lives:

Right, Square, Triangle, Square, Triangle, X.

Open All Levels:

Right, Square, Triangle, Square, Triangle, R1, L1, R1, L1, Circle

No Cars in Retro Stages:

During a classic level - Right, Up, R1, L1, R1, X

All Zones:

Right, Square, Triangle, Square, Triangle, R1, L1, R1, L1, Triangle, Square.