Invulnerability
To turn on invincibility, pause the game. Press and hold L and R, then press A, A, B, A, A, A, A, A.

Ammo, Weapons, Keys, Health
To get all of these goodies, pause the game. Press and hold L and R, then press A, B, B, A, A, A, A, A.

Skip Current Level
To skip the current level, pause the game, then press and hold L and R, then press A, B, A, A, B, B, B, A.

Warp To Stage 9
To go directly to the Level 9 Boss, pause the game, then press and hold L and R, then press A, B, A, A, B, B, A, A.