Enter one of the following codes at the name screen:

Letters A, B, C, D collected:
Enter "HANG_ON."

Invincible to bullets:
Enter "_©_SEGA."

Letters A, B, C, D, collected and invincibility:
Enter "SPECIAL."

Three extra lives after time reaches zero:
Enter "GP_WORLD"

All cheat features:
Enter "DOKI_PEN"