To Continue in the stage you were last in, at the Game Over screen. Press, and hold A,B,and Start, and then release once the Music ends.
Rodimus Convoy
Collect all seven leters to spell the word RODIMUS, then beat the game.
Stage Warps
In stages 2 and 7, watch for an orange jet. Shoot it, and then shoot it again before it runs away. You will warp 2 levels forward when it is destroyed. Note that the orange jet in stage 1 won't warp, it's probably a graphics error.