Unlimited Lives (Chicago)
Find a gray wrench and open up a sewer lid. Find the two extra lives. Leave the sewer and go back in and go back to were you found the lives and they will be there again even though you've already gotten them! This can also be done with health.
Endless music
When you get to a level like Joliet Prison, you can make the record player in that level go on endlessly unless you quit the level or go into a different section. To do this, you must throw your hat at the record player from any distance. Then it should keep going after the time goes down to zero.
How To Throw Your Hat
You simply Hold Z and press R.