Unlimited health:
Press Start to pause game play then quickly press R, Left, L, Right, Up, Select, Left.

500 bullets:
Press Start to pause game play then quickly press R, Left, L, Right, Up, Select, Right.

Level select:
Press Start to pause game play then quickly press R, Left, L, Right, Up, Select, R. High pitched voices:
Press Start to pause game play, then quickly press R, Left, L, Right, Up, Select, L.