Level select:

Successfully complete the game under the normal or hard difficulty setting to unlock an option that will allow you to pick any level in the game. 

Hint: Grenades:

When on any level and there are two enemies talking to each other, throw a grenade (for example at the beginning of the Think Like A Gun level). They will not even look to see what it was because they will be distracted.

Thanks to Magicmomentsandu