At the Game Over screen, press Select, A, Select, B, Select, and A on Player 1's controller. (Alternatively, you can press 7 1 4 9 3 6 on the Power Glove.) Press Start to begin a new game at the last-played level. Note: This only works on Levels 2 and on, and only four times total.
Stage Select
At the title screen, press Up, Left, Down, A, Right, A, B, and A on Player 1's controller. (Alternatively, you can press 6 5 4 7 4 0 7 on the Power Glove.) At the top of the screen, a number representing the level will appear: press Select to choose a level, and Start to begin there.
Start the game with 13 lives instead of 6
At the title screen, punch in this series of numbers on your Power Glove.