Bonus Lives, Bombs, and Power:
To start with 10 lives, 10 bombs and after dying start at the location you died at rather than the checkpoint, enter the sound test mode. Then enter the level select mode. Set the sound number to the level you wish to start on. Hold buttons I and II then press Start.
Debug Mode:
To unlock Debug mode, at the title screen hold select and rapidly press left and right. The screen should display planets. Then press button I, button II, and then select 21 times. A tone will confirm correct entry.
Invincibility:
To activate invincibility, at the Debug mode screen hold down and left.
Level Select:
To unlock Level Select, go to the Debug mode screen and choose a level between 00 and 09.