Cheat mode:
Play the "0B", "29", "2C", and "05" selections in order on the sound test screen.
Full energy, life, and special powers:
Enable cheat mode and press A + B + X + Y during game play. You will also be invincible during the missions when you fly in the sky, shooting the robots.
Level skip:
Enable cheat mode, then hold A + B + X + Y and press Select during game play.