To play certain stages with invicibility, go to the title screen and press A, A, A, A, X, B, B, B, B, Y, X, X, X, A, Y, Y, Y, Y, and B on controller 1. Use controller 2 to play: during any sidescolling stage, hold select and then press and hold A, B, X, and Y. Release all the buttons and you'll be invincible for that stage!