Press [Up, Down, Left, Right] repeatedly at the title screen. You'll hear a harp if you did it right. Enter one of the following controller actions to select the corresponding level.

The Execution Place: Press Start.
The Floating Island: Press A, Start.
The Village of Decay: Press Up, Start.
Town of Fire: Press Up + A, Start.
Baron Rankle's Tower: Press Down, Start.
Horrible Faced Mountain: Press Down + A, Start.
The Crystal Forest: Press Left, Start.
The Ice Slopes: Press Left + A, Start.
Beginning of Castle: Press Right, Start.
Middle of Castle: Press Right + A, Start.
Loki: Press Down/Right, Start.