Five lives:
Hold Up + A + B and press Start at the character selection screen.

Level select:
Press Down, Up(2), Down, C, A,
B at the character selection screen. The level select menu will appear after a character is chosen. Alternatively, press B, A, Down, B, Up, Down at the character selection screen for the same options with five lives.

Ten lives and level select:
Press Down, Up(2), Down, A, B(2), A at the character selection screen. Choose a character and press Start to display the level select menu. Ten lives will be available during game play. Note: The final ending will
not appear when this code is enabled.