Nine lives
Pause game play and press Right, Right, Right, Down, Circle, Left, Down.
Five shots
Pause game play and press Down, Left, Circle, Down, Right, Right, Right.
Level select
At the main menu, select either one or two players and press Circle (instead of X) to begin the game.
Classic mode and credits
Enable the "Level select" code, choose level 00, and complete it to unlock an ending, classic mode, and credits. Press Right when selecting then number of players to access classic mode. Enter the options screen to access the credits.