Enter the following at the Main Menu:

Invincibility:

L, R, L, R, L, R, L, R

Level Select:

X, Y, Z, Z, X, Y, Z, Z

Liquid Metal Mode:

B, Y, X, B, Y, X

Big Head Mode:

R, R, L, R

Tiny Heads Mode:

L, L, R, L

Flame on:

X, Y, B, X, Y, B

Enemies Punched Are Set On Fire:

L, L, B, Y, L, L

Bullets Explode:

L, R, Z, Y, B

Slower Enemies:

B, X, Y, Z, L, R