Invincibility
Press [Start] to pause game play, then press [R],
[Y], [L], [X]x2, [R]. Although your health
will still decrease, you will not lose a life when it reaches
zero.
Level select
Press [Start] to pause game play, then press [X],
[Y], [L], [X], [R]x2. Exit to the level selection
screen and all of them will be unlocked.