Unlock Armored Car:
Press Up, Down, Left, Right, Square, Triangle and Circle during the beginning movie to unlock an armored car.

Unlock Double Health:
Press Up, Up, Left, Left, Right, Right, Circle, Circle and Down during the beginning movie. A groaning woman will confirm correct entry of the code.

Skip The Movies
You can skip some of the movies with R3 (pressing down on the analog stick)