After you arrived at the stage ( 2nd ) Queen Bee, you may notice a hook on a sign. If you happen to die, the Death will appear and teach you about the hooks. After you first "near death experience", the hooks will have tails on them that give you extra lives. If you leave an area and come back, the tails will be there again. In short, you can actually get unlimited lives by grabbing the tail, returning to the first stage, and then coming back. Repeat these actions to be granted unlimited tails.