Make sure you have two controllers plugged in. Go to the level select screen. Hold the UP button on the second controller, and then press START, SELECT, SELECT, SQUARE. All the levels should be unlocked.
Exceed Normal Ammo Maxima:
Normally, all guns carry a nominal maximum of reserve bullets (i.e., MP40 carries 32 in the magazine and 160 rounds in reserve). You can exceed this maxima for your non-default guns by dying and restarting from a checkpoint.
The game will assume that you still carry the gun you previously had (i.e., MP40 in this example) and allow you to collect ammo for it even though you do not have the gun in your possession.
When you do choose to pick up the gun you've had on your previous play, you will find that you'll have more than the normal amount of ammo for that weapon.
This glitch has been verified for the PS2 debug version of the game on the following stages using the MP40 ('cause it's common folks): Dead In Her Sights, Raiding the Fortress, Last Bridge Standing, and Into The Heartland.
In the stage Surrender at Aachen (Western Front), you will be in an enemy occupied house right from the start. The small room directly across from where you start from has a small teddy bear you may acquire with no known effect.
Thanks to RamirezX