Reach the fourth and final Sigma Stage on Xtreme Mode (Fourth Sigma Stage is not accessible in other difficulties). Lose your last life and get a Game Over to any of the eight Maverick bosses in the teleporter room. Choose to return to the Stage Select screen on the Game Over menu. Enter the actual level of the Maverick boss you just lost to. Reach the boss room. Instead of leaving the level, you will be warped to the intro level of the game with all of the weapons and upgrades you've accumulated. Beating the intro level will return you to the Stage Select screen as normal.