The first one that comes to mind is always the Sonic The Hedgehog(Mega Drive) level select code - Up,Down,Left,Right,A+Start. When I was little, level seleect codes like that were a big thing to me.
Another two are from MediEvil on PSOne. 1st - T(triangle),O,T,O,O,T,Left,O,Up,Down,Right,O,Left,Left,T,Right,O,Left,Left,T,O,Down,O,O,Right and 2nd - Down,Up,S(Square),T,T,O,Down,Up,S,T.
Also from the Mega Drive is Toy Story's level skip code - A,B,Right,A,C,A,Down,A,B,Right,A
Again from PSOne is Crash Banicoot 3's Spyro demo code - Up,Down,Up,Down,Left,Right,Left,Right,S