Unlock first level:
Pause game play at the zone selection screen. Press L1, R1, L1, R1, then resume game play.

Unlock second level:
Pause game play at the zone selection screen. Press L2, R2, L2, R2, then resume game play.

Unlock third level and more:
Pause game play at the zone selection screen. Hold L1 + R1 + L2 + R2, then resume game play. This also unlocks the secret power-ups and the three classic black and white Pong versions.

Level select:
Press L1, R1, L1, R1, L1, R1 at the options screen. Select the star field beyond what looks like the final level to play the original 1972 Pong.

Hint: Fast sheep finish:
On the sheep level when you have one in the middle, let the ball go off the edge. When you grab it, go in front of the sheep but do not let the ball go. The sheep will bounce of the bat and will go back to the middle. Repeat this until all the sheep are in the middle.