Cheat mode:
Press Up, B, A, C, A, Down, B, A, C, A at the title screen. Highlight the "Options" selection and press Left(2) to display a cheat menu with "Immortal" (invincibility), "Stage" (level select), and "Weapon-L" (weapon power-up) options.

Level skip:
Enabled cheat mode. Hold A and press Start(2) while playing the game to jump to the next level.