Choose arcade mode, then press Down/Left + B + Start. A number will appear in the top left part of the screen. Press Up or Down to select the starting level.
Shinobi: Unlimited shurikens
Select the shuriken number at the options screen and set the number of shurikens to zero. The zeroes will eventually turn to an infinity symbol to confirm correct code entry.
Streets of Rage: Level select
Select "Options" at the main menu, then hold Right + A + B + C on controller two and press Start on controller one.