While playing pause the game and press Down R Up L X A Y B Z C Right Left.
While playing pause the game and press Up Y Left A Down B Right C.
Press L A R C B.
At the Options screen press Left Right Left Right Up Down L R Start. A new entry called Secret Mode will appear which you can use to increase the number of lives to 99.
First enable the code above Secret Mode then return to the Title screen. While the words "Game Start=" and "Options" appear press Up Down Left Right L R A Y C Z B X. Stage Select entry will appear on the main menu.