Cheats can only be activated from the main menu; pressing the correct button combo will activate a sound and will unlock the cheat in the menu
Xbox:
All Weapons - L, L, X, Y, Y, R, R
Invincibility* - X, Y, L, R, L, R, R
Unlock all Missions - X, X, Y, Y, R, R, L
Unlock all Vehicles- X, X...