Hidden Ending Message
After beating the game 3 times, when the word "Congratulations" appears, press A on the second controller and a hidden message will appear.
Level Select
Pause the game, then press A 16 times and for one more time for each level. For example, you must press A on first level 17 times, and 21 times on fifth level. This works only for the first run.
Sound test
Unplug the Zapper and plug the second controller. Now, on the player section screen press and hold Left+Up+B+A on controller 2. If done right, the sound test should appear. Press A+B to quit the soundtest.