1st Bonus Level
To get the first bonus level find the area which has 5 small "towers" -- 4 blue surrounding a central red one -- just before the level takes a 90-degree turn upward. First shoot the 4 blue ones, then the red one last. The secret path will open up, you will have a different path, you will skip that level's boss, and you will then play the 1st bonus level which has a different boss. You also get a 10,000,000 point bonus for getting the different path.
Gallery and Level Select
Beat the game to gain access to a 3D enemy gallery where you can view and rotate the enemy models. You also gain access to a level selection option where you can choose which level to start from.
Credit Goes To: Ey Wuz Hear via IGN 64