First of all, check the following:

1. Make sure you’re not confusing similar-looking characters, such as the letter ‘O’ and the number ‘0’, or ‘Z’ and ‘2’.
2. Did you enter the Master Code, (M)? The cheat codes won’t work unless it’s activated.
3. Are you using the correct version of the codes for your game? You can’t (for example) use European codes on an American game. Also, differing versions of a single game (eg. full priced and Platinum releases) might demand different codes. If the codes list on the Codejunkies website offers a SLES number, make sure it matches that of your game – you’ll find it on the box, at the base of the spine.
4. If you’re using a version of Action Replay older than 3.14 and there’s a Version pre-3.14 Fix in the codes list, this must be used for the cheats to work. You can find the number of your Action Replay MAX on the underside of the PS2 CD, near the hole.