Master Code
Press UP, DOWN, TRIANGLE, CROSS while holding R2 and L2.

New Mode:
By completing all 18 missions (finish the game) save and load. Now you new mode like

SP. Continue:
Start over from mission one with all Aircraft, Weaponry and $$$ obtained previously.

Free mission mode:
Play any mission from the game.

Trial mission mode:
A new mode which let you play Score Attack or Time Attack mode.

Also, beat the game once and go to option screen, you'll now have new goodies like

Eject from plane
Hold L1 R1 L2 R2 all at the same time, there for letting you escape before you are shot down.

Scene Viewer> let you watch any scene from the game.

Music Player> listen to all 36 tracks.