Continues and Infinite Continues:
When you get a Game Over, you can hold A and press Start to continue from the last level you played, but only three times. If you hold the Down Button before doing so, though, your Continues counter will not go down, allowing infinite continues.
Level Skip and Invincibility:
During the game, hold Up and A on Player 1's controller and Up on Player 2's controller. Press A on Player 1's controller to enable the cheat. At that point, you can hold B and press Select on Player 1's controller to skip the current level, and also hold A and press Select to turn on invincibility.