At the Title screen hold L Z CUp CDown. The game will go to the Character Selection screen. Now press CUp or CDown to choose a level. Also you're 99 invulnerable.
Press R R R B CDown Z CLeft L to get the bazooka in every level.
Hold More Ammo
At the Character Select screen press CDown CUp L CRight CDown R. If done correctly you will hear a voice say Alright.
Play as any Boss
At the Main Menu press CUp CLeft A Left B.