On your last life press Select and go to "Restart". When the level reappears you will begin with 5 lives.
Choose "The Legend Returns=" from the Main Menu. Next highlight "1 Player" and hold R2. Then press X.
During gameplay press R2 Circle to skip to the next level. Press R2 Square to return to the previous level. Press R2 Triangle to jump fifteen levels ahead. Press R2 X to jump back fifteen levels.
Pause the game then press Select Triangle.