Continue (Japanese version):

At the title screen, hold down right and simultaneously press B three times (pressing A also works), then hit start.

 

Easy Win on Stage Six Boss:

At the end of stage six, the player will be challenged by two large flying red creatures known in the game as "Satan". While using the shield weapon, allow both "Satans" to swoop over Arthur's head so that they are both on the left side of the player. At this point, immediately run as far to the right as the game will allow then turn around and begin firing as fast as you can. Both Satans will stand directly in front of Arthur unable to use their swoop move, and the shield protects Arthur from incoming projectiles. This strategy leaves the "Satans" immobile, defenseless, and susceptible to defeat in a matter of seconds.

 

Level Select:

At the title screen do the following: Hold down Right, pres B 3x then press Up, and release it. Press B three more times. Press Left, then release and press B 3 more times. Press Down, release, then press B three more times. Finally, press Start.

 

See the bonus message:

Successfully complete both of the quests and at the second screen of the ending, press A, B, Up, Down, A, B, Left, Right. If done right, you'll get the credits for the game.