Hold Z + X + C + U + I + O (in that order) during game play. This will enable cheat mode. Up, right, down, and left to increase and decrease values. Press the keys on cheat mode for the effect.

Code - Effect

F5 key - Extra lives
F8 key - Level select
F10 key - Level skip
F7 key - Level skip
F9 key - Previous level skip
F6 key - Previous level skip