Tiny Jim:

At the title screen, hold Z and press C-Up, C-Down, Left. Then begin game play.

Earthworm Kim:

To unlock Earthworm Kim, collect 1000 marbles and beat the game with a Smart Superhero rank. The game is much more difficult when you play as Earthworm Kim.

Infinite Lives:

Once you beat the whole Happiness level including the boss, Fatty Rosswell. Snot will be near the level of Are You Hungry Tonite. Talk to him and he will give you a pump pack. Use the pump pack and land on the heart, then go into Are You Hungry Tonite. Now go out and repeat this process to get many extra lives.