To level select:
At first menu:
Simultaneously hold L1,L2,R1,R2,Up and press new game. 
At difficulty menu:
Simultaneously hold L1,L2,R1,R2,Down and press difficulty level you wish.
Use direction pad to select level, press x and off you go!

Once you get the drill press up, up, down, down, left, up,and the o looking 
object and you'll get a super drill that has a drill shooter on it a killer!

Infintinint Health:
You must have a drill in your wepon select menu. Next select frying pan, bring 
up the weapons menu again and keep pressing 0+R1 untill 999 appears on 
your health bar.