Level select:
Hold Up + X + Start at the text credits opening screen and select "Load Game".

Submission: Al Amaloo (vgstrategies.miningco.com)

Fight level 2 Boss:
Enable the "Level select" code. Then, hold L1 during the "Loading"
screen.

Submission: Al Amaloo (vgstrategies.miningco.com)

Fight level 5 Boss:
Enable the "Level select" code. Then, hold R1 during the "Loading"
screen.

Submission: Al Amaloo (vgstrategies.miningco.com)