Bonus levels
Pause the game. Press and hold Z. Press C-Down, L, R, L, R, L, R, L, R, L, R.
(Thanks to DANMONEY@webtv.net)

Select levels
Pause the game. Press and hold Z. Press R, B, A, B, A, C-Up, C-Down, C-Left, C-Right, C-Up, C-Down, C-Left, C-Right.
(Thanks to DANMONEY@webtv.net)