Mystery Dies
To get Mystery to die, jump over a ridge. Before you fall, press R and let mystery fall. She will fall and disappear. To get her again you have to go where you first found her.
Secret Levels of the Deep
On one level at a time, collect all 20 krabby patties. After you collect all of them and you beat the level, Mr. Krabs will tell you to collect 20 more krabby patties while riding on a bike or Mermaid Man & Barnicle Boy will tell you to collect 20 more krabby patties while riding on the invisible boat mobile. Those are the only secret levels I discovered.