Level select:
Pause game play and press R, Up, B, Y, A.

Unlimited energy:
Pause game play and press B, Up, B(2), A.

Unlimited lives:
Pause game play and press B, A, B(2), Y.

Unlimited shurikens:
Pause game play and press Down, A, B.

Enable all codes:
Pause game play and press R, Up, B, A, Down, Up, B, Down, Up, B.