Infinite lives:

At the Title screen, press L1, R1, L2, R2, L1, R1, L2, R2.

Level skip:

During play, press R1, R2, L1, L2, R2, L1, L2, L2.

Extra Lives:

When low on lives, replay the earlier levels over as many times as needed.
* Note: Do not save the game after completing each level that is replayed. After accumulating enough lives, return to the last level that was unlocked and continue the game.

Hints

Elephant Secret:

On the Stampede level you can get on the elephants back by climbing up a tree. The tree is by the letter R from the word TARZAN. When you are up the tree, wait until the elephants come by. Then when there close, JUMP on there back. Now you have just discovered a secret!