Upgraded weapons:
Pause game play, then press Up(2), Down(2), Left, Right, Left, Right, B, A, Start to fully upgrade all your weapons. Note: This code can only be done once per level, as repeating it will cause death. Also, you must have an upgradeable weapon to avoid the death effect. Using the code has no benefit under the Easy difficulty setting. 

NES Contra: 30 lives:
Press Up(2), Down(2), Left, Right, Left, Right, Y, B, Start before the demonstration begins at the Contra title screen. 

NES Super C 10 lives:
Press Right, Left, Down, Up, B, Y at the Super C title screen.

Challenge mode:
Successfully complete the game to unlock Challenge mode.

Challenge mode bonuses:
Complete the indicated number of challenges to unlock the corresponding bonus.

NES Contra: 4 challenges 
NES Super C: 8 challenges 
Probotector character: 12 challenges 
Nobuya Nakazato interview: 16 challenges 
Lucia character: 20 challenges 
Contra 3 comic: 24 challenges 
Sheena Etranzi: 28 challenges 
Jimbo and Sully from Contra 3: The Alien Wars: 36 challenges 
Sound Test option: 40 challenges 

Alternate colors:
Successfully complete the game. Press Up(2), Down(2), or X(2) at the character selection screen to choose one of three alternate colors.

Alternate ending:
Successfully complete the game under the Normal or Hard difficulty setting.