View FMV sequences:
Press C, X, B, Y, A, Z, Start during the introduction sequence

999 shurikens:
Highlight the "Shurikens" selection on the options screen. Hold L + R and press C, A, B.

99 lives:
Highlight the "Game Start" selection, quickly press A, Z, B, Y, C, X, then start the game.

Level select:
Pause the game and press A, B, A, B, C. Press Left or Right to change the level selector in the lower left corner of the screen, then press Start to begin.

Expert difficulty:
Highlight the game start selection at the main menu and press A, B, C, B, A, Start. The game will begin with no lives remaining, no continues, and only one HP.