At the title screen, press Start once, then leave the cursor on "Start Game". Enter the code C, A, LEFT, RIGHT, and hold B, then hold Start. Continue holding both until the opening demo appears.
Head check
Highlight the "Options" selection at the title screen, then press C, A, Left, Right, B. Dynamite Headdy will say "Nice" to confirm correct code entry. Press Start to scroll through all animations in the game.
Level select
Press C, A, Left, Right, B at the "Game Start" screen. Dynamite Headdy will say "Nice" to confirm correct code entry. Press Start to display the level select menu.