Level select:

Hold Up + 1 + 2 on controller two while powering on the Master System.
The opening graphics will change to confirm correct code entry. A
level select screen will appear after a character is selected.

Invincibility:

Locate an area that contains a rake. Step on the rake and faint
precisely at the moment that your character is hit by a bullet. Your
character will be invincible until the next item is collected.