Attain all power-ups:
Pause your game by pushing start, then push Up(2), Down(2), L, R, L, R, B, A, Start. Remember if you use this code endemically (in other words a lot)

(ConsoleCheatCodes.com Word Power  Endemic - prevalent in or peculiar to a particular locality or people.)

Or

Pause your game by pushing start, then push Down(2), Up(2), Right, Left, Right, Left, A, B, Start. Remember this code will not offer the speed power-up and costs one life each time. (No self destruct as far as I can gather)

Self-destruct:
Pause your game by pushing start,, then push Up(2), Down(2), Left, Right, Left, Right, B, A, Start.

Delete saved game:
Goto the options screen, highlight "Exit", then press and  hold L + R + B and push Start.

Unlock Challenge A mode:
After finishing the game you will unlock the Challenge A option in the main menu.

Unlock Challenge B mode:
Finish the game in Challenge A mode.