Level Warp and Invulnerability

Hold L1 + R2 + Triangle + Left and press START during gameplay.

Level 20 Character

Hold L1 + R2 + R3 + Left and press START during gameplay.

Gauntlet Mode

Complete the game.

Extreme Mode

Complete Gauntlet Mode.

Play as Drizzt

At the Main menu, hold L1 + R1 and press X+ Triangle. Or, complete Extreme Mode.