At the title screen hold C and press Start. To use the codes, pause the game while playing and press any of the following keys:

A Skip to next Act
B Skip to next Stage
C Skip to the final boss
X Gain 1 life
Y Gain 1 medal (10 medals = 1 continue)
Z Gain all Chaos Emeralds

Note: You must earn every 10th medal. That is, you can gain 9 medals with the cheat code, earn 1, gain 9 more, etc.