Extra 30 Lives
At the game's start or after the game over screen, at the title menu, press Select 20 times then press Start continue the game with 30 lives. This only works if you continue from the first two levels.
Stage Select
Note that this cheat only works in certain versions of the game dubbed "Rev. 1.X". At the title menu, press Select 10 times, then press A to switch between levels, then press Start to play from the selected level.