While playing, press Start to pause. Now, press B, R, A, Select, Select, Y, A, B, Y, A, and B, then press Start again to unpause. After that, you have three choices that can be used in any combination:

1) Infinite Lives Press Start to pause, and press R, A, Select, Y, then Start again to unpause.
2) Stage Select: Press Start to pause, and press A, L, L, then Start again to unpause.
3) Super Slo-Mo: Press Start to pause, and press L or R to move frame by frame.