Hidden sub-game menu:
Press Right, Up, B, A, Down, Up, B, Down, Up, B at the title screen.

Extra life:
Pause game play and press C, Right, A, B(2), A, Left(2), Start. Note: This may only be used once.

Hint: Free Oxygen:
When you start the game, go all the way over to the beach. You will find water at the end. Go slightly into the water and it should take you to the next screen. Then, before your oxygen runs out, jump to the right. If timed correctly, Dizzy should then appear on an island where the oxygen pack is located. If you want to do this the more challenging way, go onto the pirate boat. When he throws you overboard, jump onto the bubbles until you reach the top.