In debug mode you can access a ton of options, including stage select, maximum life, level skip, and others. To enable this mode, enter Option mode and press A + Y + C. Enter the Setup screen and you'll see a new Debug option.

After you've enabled debug mode, you have a choice of several options, including:

Start at Level 200
Stage Select
Max or Zero life
Pause the game.
Hold X + Y + Z
Press Up for max life or Down for zero life
Forward or go Back to different battle scenes.
Forward 1 scene - R + Start
Forward 2 scenes - R + A + Start
Forward 3 scenes - R + B + Start
Forward 4 scenes - R + C + Start
Backwards 1 scene - L + R + Start
Backwards 2 scenes - L + R + A + Start
Backwards 3 scenes - L + R + B + Start
Backwards 4 scenes - L + R + C + Start
You can play all 45 characters in Vs battle.
You can max your characters power out.
You can choose which stage to begin on in story mode.
You can watch the different endings.