Extra 40 lives
At the title screen, before you press Start to begin gameplay, hold A and press Start while holding it. This will grant you an extra 40 lives when you begin.
By pressing the Select Button during gameplay, you will be able to kill yourself. This in turn will return you to the start of the level, as if you had died normally, and with the loss of life as usual.
Walk through walls
During gameplay, hold A and B. While holding them, you can then use the D-Pad to move anywhere on-screen. However, note that you can still be hurt, still grab power-ups, and still lose lives in this process. Particularly, you will lose a life if you go too far above or below the screen. It is also recommended to go off-screen to the left or to the right, or you can irreversibly glitch up the game to the point of needing to reset to fix it.