The Lawnmower Man

Infinite Lives
During the game, hit Start to pause.  Hit B, R, A, Select, 
Select, Y, A, B, Y, A, and B.  Un-pause the game, then 
pause it once more.  Hit R, A, Select, Y, and Start.  You'll 
have infinite lives.

Stage Select
During the game, hit Start to pause.  Hit B, R, A, Select, 
Select, Y, A, B, Y, A, and B.  Un-pause the game, then 
pause it once more.  Hit A, L, L, and Start.  Use Down to 
select any stage, and Start to begin playing there.