Continue on the Same Level
After you lose all your lives, and get "Game Over", hold A + B at the title screen and press Select 5 times, then hit START.
Level Skip
Right before a round starts, hold START and A to skip to the next level. This only works up to level 16. After pressing start and A, press select and B and you will be able to skip to level 45.
Skip Levels
In the beginning of the level you want to skip (right after the opening theme music stops playing and the words on screen disappear), press and hold the Start button and (while still holding Start) press the A button and you will skip to the next level. Note: This only works for the first 16 levels.