Level Select
At the Opening screen, when Press Start appears, press Left, Up, X, Up, Right, Y.
Unlimited Health
At the Opening screen, when Press Start appears, press L + R + Y + A + Left.
All Weapons
At Options, press A, B, Y, X, Y, B, A.
Fireworks
Successfully complete the game, then return to the screen with the "Start Game", "Load Game" and "Options" selections to see fireworks.