On the screen with New Game/Continue, enter these cheats quickly:

God Mode - UP, DOWN, LEFT, RIGHT, LEFT, LEFT, RIGHT, RIGHT, L, L, R, R, WHITE, BLACK.

Infinite Ammo - UP, RIGHT, DOWN, LEFT, UP, RIGHT, DOWN, LEFT, L, R.

Fat Head - RIGHT, UP, LEFT, DOWN, RIGHT, UP, LEFT, DOWN, RIGHT, L, R, L, R.

Unlock All Insta-Action Stages - UP, DOWN, LEFT, RIGHT, L, R, L, R.