To skip to the next stage, pause the game and press Right, Left, Down, Right, B, then unpause.
To skip to the previous stage, pause the game and press Right, Left, Down, Right, A, then unpause.
To reverse the directional controls by pausing the game and pressing Up, Up, Down, Down, Left, Right, left, Right, A, B.
For unlimited power, press START to pause the game. Now press A, A, A, B, B, B, A, A, A. Press START to unpause the game and the Energizer Bunny will envy you!
To make this trick work, collect all of the Diamonds in Stage One. Make sure your Score has double zeros in it (6800, 2001, etc.) Once you reach the bottom get to the elevator that travels down. Don't shoot any enemies or your score will change and the trick won't work. When you reach the bottom of the elevator, run to the right and you will have access to a hidden stage!