Go to Episode 8 Part 3. At Mech-Nukem's left arm (the incomplete one), press [Up] close to the path in front of it. You will enter a secret area containing Wozma, the secret Boss. During this time you will have infinite ammunition.
Complete the game on all difficulty settings to obtain the "Thunder gun", which can kill everything in sight. When entering a loading screen or room, quickly tap FIRE. The gun will fire in all directions. You will get a large health boost and all enemies will be killed.