29 Extra Lives:

At the title screen, after two car crashes, press A, B, Up, Down, Up, Down, B, A, then any button other than A or Start. Start the game and you'll have 29 more lives than usual.

 

Stage Select:

At the title menu, press Up, A, Down, A, Left, B, Down, A, Right, A, Left, B, A, and then any other button (except A and Start). Press A or B to change the stage number by 5 up to 46.