In the first stage, shortly after the second checkpoint is a hanging vine next to a stone platform. Stand on the left edge of the stone platform, do a long jump (down + C), and aim for the tree canopy directly above the vine. Keep holding C, and as you reach the height of the jump, begin holding A as well. Continue to hold C + A while the invisible cannon rockets you through a hidden shortcut. After the trip through the shortcut is complete, release the buttons and proceed to lose all your lives to get a Game Over. Once back at the title screen, open Options and a level select is now available at the bottom.
Programmer's menu
When the title screen has finished loading (Start and Options text is displayed), enter this code: B, down, down, C, A, B, B. If entered correctly, the hidden menu will instantly appear.