99 Thunder Bolts:

Press Up, Down, Up, Down, A at the title screen to start the game with 99 Thunder Bolts.

 

Continue:

When you return to the title screen after a game over, hold down and press start to continue at the level you were on.

 

Fully Powered Up and Level Skip:

At the title screen, press Up, Down, Up, Down and A. If done right, you'll have a high jump, 99 bolts, better shield and unlimited money. To skip levels, just press Up, A & B at the same time.