At the title screen use controller 2 and press Left, Left, Left, B, B, A, A, A, A, Right, then press start on controller 1.
Level Select
At the title screen, press Left, Right, A, B, A, Down, abd Up on Player 2's controller, then hold A on Player 1's controller By pressing the Select Button, you can select the desired level.
Secret Ending Message
If you can finish Mission 4-4 with 3 lives remaining and 24 grenades remaining, you get a secret message from the programmer after the usual ending message.
Slow Motion
At title screen, press B, Down, Up, A, Left, Left and Right on the 2nd controller. Now, during the game, press or hold Select to move frame by frame.