Infinite Lives Glitch
Lose all your lives and in the last life, die and immediately press and hold start. If you did it correctly, the screen "resume play and give up" will appear. Choose "give up" and the number of lives disappears.
Major Shortcut
To get one million points and skip halfway through the game, do this little code. First, you need to get No Hit and Speed Bonus for the first three levels. On the fourth level, use the warp to go the beach level and get the Skycutter helmet. When you warp off of this level you should have at least 99 diamonds. (You can do this by going through Level 1, getting all the diamonds, resetting; same with Level 2 and Level 3) Then start going through the level and after you hit the P block that has the extra life (it's above a disappearing platform) fall down and fly all the way right and up. There are four P blocks that are worth 10,000 points each. After you break all four the screen will start flashing weird colors and then you will be halfway through the game with a million points.
Skip To Last Boss
To get straight to the last boss, go to Blue Lake Woods 2 and make your way through the level. Don't touch the flag near the end. Get up on the very last prize block and press Down + Right while holding down the Jump and Special Weapons buttons.