Cheats incoming!!
Combination door code is 9053.
The secret boss on New Game+ (thanks Depthhound) is right at the start. Exit the second room, "Dealer's Den," where you get your sword, and return. Look for a square at the left. Roll a lot, or just slap on cheats.
If you destroy the P-AD pink mist generators, you just fight the final boss with no pink mist streaming in.
Most (all?) areas have 2 door keys. In the last level, Secret Labs, which is a big circle you navigate counterclockwise, they're in rooms on the insides of the circle, right and left.
Some of the hardest parts of the game are the terrible platforming and steam mazes. Be careful around conveyor belts and especially on the floating platforms in the last area. Sometimes they move away underneath you and you fall into the void. Try to position yourself so that you are at the leading edge or corner nearest your next stop.
Cheats for Cheat Engine:
Energy, or hp, is a 4-byte number at address ?????CD4. Try searching for 1076101120, which is your default max hp.
Money is a double at address ?????C80. Just search for your current money.
Lust starts at 0 and its address is ?????CB4...you'll have to search this manually. You'll find three identical ones, but the first two just mirror the last one. You want to select the last one.
I am missing two gallery entries: "succumb to your lust" and "service a raccoon on level 3."