Level Select
At the title screen, press Up, Down, Left, Right, Up, Down, Left. You'll hear "exelent." When you start to play, press Start to pause the game, then simultaneously press B and C to skip a stage.

Unlimited Firepower
Use a rapid-fire controller to fire the gun and and you'll have unlimited firepower because the gun never overheats. If you don't have a rapid-fire controller, just tap the button rapidly