Enter all cheats in the main screen:

levelselect   :    left, up, right, down, down, right, right, up and R
last boss     :    first cheat, then left, right, right, up, right, right,
                   up, down, right, right, up and R
999-lives     :    up, nine times right, six times down, seven times left,
                   Z, X, Y, Y, Y and Z