Level select
Start a game, the Hero and Mission screen appears. Now hold down A,B,C and press Left, Right, Up, Down on D-Pad. You are now able to select the level by pressing Left/Right.
Sound Test
To enable the sound test, first beat the game. Then during the ending sequence, press and hold buttons A, B, C, Down, and Left. Keep holding these and press Start until the sound test screen appears.