We investigated the transport properties of Fe1+yTe0.6Se0.4 single crystals with different amounts of excess Fe prepared by O2 annealing. The O2 annealing remarkably improves transport properties. In particular, a strongly nonlinear Hall resistivity was observed only in the fully-annealed crystal, and the magnetoresistance (MR) is drastically enhanced after annealing, reaching a value larger than 17% at 16 K and 14 T. The obvious change of transport properties after the annealing indicates that the band structure of Fe1+yTe0.6Se0.4 is affected by the excess Fe. The nonlinear Hall resistivity and violation of (modified) Kohler's scaling of the large MR prove the multiband effects in the Fe1+yTe0.6Se0.4 single crystal. The MR for the fully-annealed crystal develops linearly against magnetic field from intermediate field (e. g. 2 T at 16 K) to the measurement limit of 14 T. This phenomenon is interpreted by the existence of Dirac cone state, in which all the Dirac fermions occupy only the lowest Landau level in the quantum limit.