Higlight Game Start and quickly press A, Z, B, Y, C, X and then Start. If you did it quick enough you will start with 99 lives.
999 Shurikens
On the Options Screen, highlight "Shurikens" and press and hold the Left and Right Shift buttons, and press C, A, and B.
Expert Difficulty
Highlight the game start selection at the main menu and press A, B, C, B, A, Start. The game will begin with no lives remaining, no continues, and only one HP.
Level Skip
During gameplay, pause the game and press A, B, A, B, C. Now use the D-Pad to pick your level.
View all the FMV Scenes
During the Intro Sequence, press C, X, B, Y, A, Z, Start.
99 Lives...