At the main menu enter the 'option' screen with start while holding: L + R + B and Z. You'll hear a small scream. Keep the buttons pressed and exit the options screen (with A). While still holding the buttons select the main game. A level select screen will show. The Y button can now also be used to skip levels. When above cheat was entered, start a new game while holding X + Y + Z + L + R to enter the debug mode without HUD.