At the rider select screen in pro quest mode, enter the following: Down(2), Left, Right, Up(2), Y. Another way to unlock Slim Jim would be to successfully finish the game with any rider.
At the bike select screen in pro quest mode, press the following: Up, Left, Up, Down, Up, Right, Left, Right, Y. This unlocks all bikes
At the style select screen in pro quest mode, enter the following: Left, Up, Right, Down, Left, Down, Right, Up, Left, Y. This will unlock all styles
At the level select screen in pro quest mode, enter the following: Left, Up, Right, Down, Left, Down, Right, Up, Left, Y. This will unlock all levels