Baldur's Gate: Dark Alliance:

Cheat Menu: 
Hold LEFT TRIGGER + RIGHT TRIGGER + X + Y + A + B, Press START to unlock the Invulnerabilty and Level Warp menu. 

Level-Up: 
Hold LEFT TRIGGER + RIGHT TRIGGER + Y + A + B + X, Press WHITE.

Invincibility and Level Warp:
Hold L all of the way down, press R half-way down with Y, A, Left stick Right, and then press Start. 
This will unlock invincibility and level warp. 

Unlock Gauntlet:
Complete the game on any difficulty setting to unlock the Gauntlet. 

Unlock Extreme Difficulty:
Complete the Gauntlet to unlock Extreme Difficulty. 

Unlock Drizzt:
Complete the game on Extreme Difficulty to unlock Drizzt. 

All Spells / Abilities:
During gameplay, press and hold L, and press R+Y+A. This will give you all spells and abilities.