All teams:
Press Triangle, Left, Right, Triangle(2), Left(2), Right(2) at the main menu. This will unlock all teams (all past winners of the UEFA Champions League since 1960 plus the three hidden developer teams), and cause a message box to appear as if you had just unlocked the final past winner (Real Madrid '00). It will also show the credits sequence the next time you re-enter the frontend having left a match.

Debug mode:
Press Up(2), Left(2), Down(2), Left(2), Up(2), Right(2), Down(2), Right(2) in the options menu within a tournament. This will activate a self-test routine which simulates random keypresses within the menus.

Hidden move:
During the game while on the ball, press R1 quickly followed by R2. This will cause your player to perform a pirouette spin, allowing you to skip past opposing players easily. It is difficult to get the timing correct, but it really splits your opponent's defense. This was deemed too useful a move by the developers and thus was not mentioned in the game manual.