Mega Man 8
aka: Rock Man 8

All weapons:
Press Up, Down, Left(2), Circle, Square, Triangle, X(3), Left, Up at the title screen.

View FMV sequences:
Highlight the "Bonus Mode" option on the title screen. Then, hold L1 + R1 and press Start. A "Animation Test" option will now appear under the "Voice Test" selection on the "Bonus Mode" menu.