The only cheats that work in Underworld are Bulletproof Lara, One-Shot Kill and Show Enemy Health from Tomb Raider Legend. They were originally discovered for XBOX 360 by laracroftswest from Tomb Raider Forums. The post was made in this thread where other members helped find the codes for other systems.

Enter the following codes. If you do it correctly, you will hear a chime.

Bulletproof Lara

XBOX 360: Hold LT and press A, RT, Y, RT, X, LB
Playstation 3: Hold R1 and press X, L1, Triangle, L1, Square, R2.
Playstation 2: Hold R1 and press X, L1, Triangle, L1, Square, R2.
PC: Hold Lock Target and press Jump, Fire, Interact, Fire, Grapple, Sprint. (Hold Right Mouse Button or G and press Space, Left Mouse Button or H, E, Left Mouse Button or H, Q, Shift).

One-Shot Kill

XBOX 360: Hold LT and press Y, A, Y, X, LB, B.
Playstation 3: Hold R1 and press Triangle, X, Triangle, Square, R2, Circle.
Playstation 2: Hold R1 and press Triangle, X, Triangle, Square, R2, Circle.
PC: Hold Lock Target and press Interact, Jump, Interact, Grapple, Sprint, Crouch (Hold Right Mouse Button or G and press E, Space, E, Q, Shift, Ctrl).

Show Enemy Health

XBOX 360: Hold LT and press X, B, A, LB, RT, Y.
Playstation 3: Hold R1 and press Square, Circle, X, R2, L1, Triangle.
Playstation 2: Hold R1 and press Square, Circle, X, R2, L1, Triangle.
PC: Hold Target Lock and press Grapple, Crouch, Jump, Sprint, Fire, Interact (Hold Right Mouse Button or G and press Q, Ctrl, Space, Shift, Left Mouse Button or H, E