Avoid falling damage
If you fall a great distance then pause and then un-pause just before you hit the ground to stop yourself from recieving damage.

Rapid-Fire Gun
Go to the diagonal platform at level 4. Then repeatedly press A to remain on the platform long enough to find the rapid-fire gun.

Level Select
Enter LEFT,RIGHT,UP,UP,DOWN,UP,RIGHT,LEFT at the title screen.

Invulnerability
Enter UP,DOWN,DOWN,LEFT,RIGHT,LEFT,UP,UP at the title screen.

Note: If you want both Invulnerability and Level Select, you must enter this code first