On the map screen, quickly press the following buttons. You'll hear a "Yeah!" if entered correctly. The Level Skip code needs to be entered each time you want to open a new stage on the map.
At the options screen, chose remap control. Switch A with C, X with Z, and L with R. The new option will appear.
Finish the game by finding all 23 Team Dolls, then start a new game by overwriting your used save game slot. You'll now play in Lobo-Flight mode, which lets you fly, breathe underwater and your weapons shoot much faster. Also, the Death Tank minigame will unlock on the title screen.