While you are on the main menu, press Left, Left, Right, Right, Up, Down, Left, Right, Up, Up, Down, Down. Then scroll down through the menu and you should see a Cheat Mode option.
In the Cheat Mode screen enter L1, R1, L1, R1, L1, R1, L1, R1, L2, R2. Start playing the game, pause it for the cheat menu selection.
Accumulate More Lives
This cheat/tip only really works on later levels. But, if you want more lives, you can go back to the earlier levels, accumulate a ton of lives and save them after finishing the level. Then go back to the harder level, and continue your game. You will have the lives you got playing the easier earlier levels!